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Normy · 2022年01月07日

trade-off!!

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ201812020100000303

问题如下：

Which portfolio in Exhibit 2 fails to meet the requirements to achieve immunization for multiple liabilities?

选项：

A.

Portfolio A

B.

Portfolio B

C.

Portfolio C

解释：

A is correct.

The two requirements to achieve immunization for multiple liabilities are for the money duration (or BPV) of the asset and liability to match and for the asset convexity to exceed the convexity of the liability. Although all three portfolios have similar BPVs, Portfolio A is the only portfolio to have a lower convexity than that of the liability portfolio (31.98, versus 33.05 for the $20 million liability portfolio), and thus, it fails to meet one of the two requirements needed for immunization.

这题似乎是认为了 Convexity条件优先于BPV考虑 是这样吗？

因为B的BPV条件是三个组合中最完美的

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pzqa015 · 2022年01月07日

嗨，爱思考的PZer你好：


不是的

multiple liabilities免疫中的BPV of asset=BPV of liability并不是说两个BPV要完全相等，像本题给出的10524和10516，与负债的BPV10505相比，是可以认为近似相等的，对于一个以万为数量级的数字，相差个位数变动或十位数变动，都是可以接受的，从实务角度来讲，也很难做到两个BPV完全相等。所以，这道题并不是想考察通过BPV来剔除fail to meet requirement的portfolio，可以认为三个portfolio 的BPV都满足免疫条件，要根据convexity来判断。

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