NO.PZ2019103001000032
问题如下：
Doug Kepler, the newly hired chief financial officer for the City of Radford, asks the deputy financial manager, Hui Ng, to prepare an analysis of the current investment portfolio and the city’s current and future obligations. The city has multiple liabilities of different amounts and maturities relating to the pension fund, infrastructure repairs, and various other obligations.
Ng observes that the current fixed-income portfolio is structured to match the duration of each liability. Previously, this structure caused the city to access a line of credit for temporary mismatches resulting from changes in the term structure of interest rates.
Kepler asks Ng for different strategies to manage the interest rate risk of the city’s fixed-income investment portfolio against one-time shifts in the yield curve. Ng considers two different strategies:
Strategy 1: Immunization of the single liabilities using zero-coupon bonds held to maturity
Strategy 2: Immunization of the single liabilities using coupon-bearing bonds while continuously matching duration.
An upward shift in the yield curve on Strategy 2 will most likely result in the:
选项：
A.price effect cancelling the coupon reinvestment effect.
price effect being greater than the coupon reinvestment effect.
coupon reinvestment effect being greater than the price effect.
解释：
A is correct.
An upward shift in the yield curve reduces the bond’s value but increases the reinvestment rate, with these two effects offsetting one another. The price effect and the coupon reinvestment effect cancel each other in the case of an upward shift in the yield curve for an immunized liability.
1.parallel 能够免疫， 可这道题是 upward shift，非平行移动， 怎么就认为 Price risk 与 Coupon reinvestment risk 能互相抵消？
2.upward shift 导致长期的利率变更大，Duration也大；短期的利率变大的不多，Duration也小，这分析不出 price effect 和 coupon reinvestment effect 哪个更大吗？
