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徐威廉 · 2021年07月25日

liquidity management

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ201812020100000304

问题如下：

Based on Exhibit 2, relative to Portfolio C, Portfolio B:

选项：

A.

has higher cash flow reinvestment risk.

B.

is a more desirable portfolio for liquidity management.

C.

provides less protection from yield curve shifts and twists.

解释：

B is correct.

Portfolio B is a laddered portfolio with maturities spread more or less evenly over the yield curve. A desirable aspect of a laddered portfolio is liquidity management. Because there is always a bond close to redemption, the soon-to-mature bond can provide emergency liquidity needs. Barbell portfolios, such as Portfolio C, have maturities only at the short-term and long-term ends and thus are much less desirable for liquidity management

liquidity management看什么？单纯看portfolio里的bond到期时间越分散liquidity管理的越好吗？

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已采纳答案

pzqa015 · 2021年07月26日

嗨，爱思考的PZer你好：


是的同学，你说的没错。

liquidity management流动性管理是指能否在需要现金流时从portfolio中得到现金支持，对于laddered portfolio，现金流更加分散，比如从t=2、3、4、5、6....都有现金流，那么我们不需要卖出债券，依靠portfolio中到期的债券本金或coupon就可以提供流动性。

相反，对于bullet或者barbell，现金流较为分散，比如bullet现金流集中于t=5、6、7，如果我们要t=3时刻的现金流，那么需要卖出债券，卖出债券就面临着债券流动性的问题，有可能不能及时变现，所以，bullet与barbell相对于laddered来说，流动性管理作用较弱。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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