开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

betty__smile · 2021年09月17日

C为什么不对,convexity 比barbell小 保护少啊

  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

同标题，c为什么不对

添加评论
2 个答案

pzqa015 · 2021年09月18日

嗨，爱思考的PZer你好：


C选项是书上的原话，laddered portfolio provide more protection from yield curve shifts and twists。意思是在收益率曲线非平行移动时，laddered portfolio表现更好，C选项说反了。convexity主要保护收益率曲线平行移动，在平行移动时convexity大的portfolio表现更好。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

pzqa015 · 2021年09月18日

嗨，努力学习的PZer你好：


C选项是书上的原话，laddered portfolio provide more protection from yield curve shifts and twists。意思是在收益率曲线非平行移动时，laddered portfolio表现更好，C选项说反了。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

  • 2

    回答

  • 0

    关注

  • 537

    浏览
相关问题

NO.PZ201812020100000304 问题如下 Based on Exhibit 2, relative to Portfolio Portfolio hhigher cash flow reinvestment risk. is a more sirable portfolio for liquity management. provis less protection from yielcurve shifts antwists. B is correct. Portfolio B is a laereportfolio with maturities spremore or less evenly over the yielcurve. A sirable aspeof a laereportfolio is liquity management. Because there is always a bonclose to remption, the soon-to-mature boncprovi emergenliquity nee. Barbell portfolios, suPortfolio have maturities only the short-term anlong-term en anthus are muless sirable for liquity management B我知道为什么对，但是A和C具体错在哪里呢reinvestment risk 大不大的衡量指标是什么，是convexity么？那应该是越大convexity对应reinvestment越小？同样的，也是convexity越大的，对应的针对yielcurve改变时的protection越大么？这个protection怎么去理解比较好？

2022-12-14 17:15 1 · 回答

NO.PZ201812020100000304 问题如下 Based on Exhibit 2, relative to Portfolio Portfolio hhigher cash flow reinvestment risk. is a more sirable portfolio for liquity management. provis less protection from yielcurve shifts antwists. B is correct. Portfolio B is a laereportfolio with maturities spremore or less evenly over the yielcurve. A sirable aspeof a laereportfolio is liquity management. Because there is always a bonclose to remption, the soon-to-mature boncprovi emergenliquity nee. Barbell portfolios, suPortfolio have maturities only the short-term anlong-term en anthus are muless sirable for liquity management 老师请问，laerebon的现金流更均匀且分散，那不就是有更多的reinvestment risk吗？

2022-12-13 22:33 1 · 回答

NO.PZ201812020100000304 问题如下 Based on Exhibit 2, relative to Portfolio Portfolio hhigher cash flow reinvestment risk. is a more sirable portfolio for liquity management. provis less protection from yielcurve shifts antwists. B is correct. Portfolio B is a laereportfolio with maturities spremore or less evenly over the yielcurve. A sirable aspeof a laereportfolio is liquity management. Because there is always a bonclose to remption, the soon-to-mature boncprovi emergenliquity nee. Barbell portfolios, suPortfolio have maturities only the short-term anlong-term en anthus are muless sirable for liquity management 由于B答案的convexity小于C答案，所以less protection from twist 和shift。为什么C错呢

2022-08-23 13:56 1 · 回答

NO.PZ201812020100000304 问题如下 Based on Exhibit 2, relative to Portfolio Portfolio hhigher cash flow reinvestment risk. is a more sirable portfolio for liquity management. provis less protection from yielcurve shifts antwists. B is correct. Portfolio B is a laereportfolio with maturities spremore or less evenly over the yielcurve. A sirable aspeof a laereportfolio is liquity management. Because there is always a bonclose to remption, the soon-to-mature boncprovi emergenliquity nee. Barbell portfolios, suPortfolio have maturities only the short-term anlong-term en anthus are muless sirable for liquity management 现金流越分散，spersion越高，convexity越大: barbell laerebulletconvexity越大，protection from yielcurve change越小:bullet laer barbell现金流越早到期，reinvestment risk越大: barbell laerebullet现金流越平均，越是sirable liquity management:laer barbell bullet现金流分散和平均也不是一个意思，前者是现金流的时间差大，后者是现金流时间差相似。

2022-08-17 10:48 1 · 回答

NO.PZ201812020100000304 问题如下 Based on Exhibit 2, relative to Portfolio Portfolio hhigher cash flow reinvestment risk. is a more sirable portfolio for liquity management. provis less protection from yielcurve shifts antwists. B is correct. Portfolio B is a laereportfolio with maturities spremore or less evenly over the yielcurve. A sirable aspeof a laereportfolio is liquity management. Because there is always a bonclose to remption, the soon-to-mature boncprovi emergenliquity nee. Barbell portfolios, suPortfolio have maturities only the short-term anlong-term en anthus are muless sirable for liquity management 老师，在这个问题之前的回答说【C是书上的原话，laereportfolio provi more protection from yielcurve shifts antwists。意思是在收益率曲线非平行移动时，laereportfolio表现更好，C说反了。】在提到structurrisk时候，structurrisk是因为利率发生非平行移动导致免疫策略失败的风险，解决方案是降低convexity。那说明小conxiety的组合（如bullet）在非平行移动时候表现更好，laere组合convexity大于bullet，所以非平行移动表现最好的是bullet吧？

2022-05-06 21:25 1 · 回答