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陈Shelly · 2022年01月14日

为什么不选duration匹配的?

NO.PZ2019103001000033

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.

The effects of a non-parallel shift in the yield curve on Strategy 2 can be reduced by:

选项:

A.

minimizing the convexity of the bond portfolio.

B.

maximizing the cash flow yield of the bond portfolio.

C.

minimizing the difference between liability duration and bond-portfolio duration.

解释:

A is correct.

Minimizing the convexity of the bond portfolio minimizes the dispersion of the bond portfolio. A non-parallel shift in the yield curve may result in changes in the bond portfolio’s cash flow yield. In summary, the characteristics of a bond portfolio structured to immunize a single liability are that it (1) has an initial market value that equals or exceeds the present value of the liability, (2) has a portfolio Macaulay duration that matches the liability’s due date, and (3) minimizes the portfolio convexity statistic.

为了降低Structural risk(Non-parallel时,资产不匹配负债的风险),我们就要选择Convexity最小的债券但是这应该是在duration匹配的基础上再选convexity最小啊

1 个答案

pzqa015 · 2022年01月15日

嗨,努力学习的PZer你好:


你说的没错同学,要在duration 匹配的基础上选择convexity最小的。

strategy 2已经说了,要continuously matching duration,相当于这是已知条件了,所以我们就不用考虑duration match了,只需要选择convexity最小的portfolio。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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NO.PZ2019103001000033 No.PZ2019103001000033 (选择题) 来源: 原版书 ug Kepler, the newly hirechief financiofficer for the City of Raor asks the puty financimanager, Hui Ng, to prepare analysis of the current investment portfolio anthe city’s current anfuture obligations. The city hmultiple liabilities of fferent amounts anmaturities relating to the pension fun infrastructure repairs, anvarious other obligations. Ng observes ththe current fixeincome portfolio is structureto matthe ration of ealiability. Previously, this structure causethe city to access a line of cret for temporary mismatches resulting from changes in the term structure of interest rates Kepler asks Ng for fferent strategies to manage the interest rate risk of the city’s fixeincome investment portfolio against one-time shifts in the yielcurve. Ng consirs two fferent strategies: Strategy 1: Immunization of the single liabilities using zero-coupon bon helto maturity Strategy 2: Immunization of the single liabilities using coupon-bearing bon while continuously matching ration. The effects of a non-parallel shift in the yielcurve on Strategy 2 creceby: 您的回答正确答案是: A A 正确minimizing the convexity of the bonportfolio. B maximizing the cash flow yielof the bonportfolio. C minimizing the fferenbetween liability ration anbonportfolio ration. A能选,为啥B不能选,根据convexity的公式,当CFY增加的时候convexity 减小,最大化CFY也可以是认为最小化convexity啊

2022-01-09 00:02 1 · 回答

NO.PZ2019103001000033 平行移动的话没有影响吗?对ration和凸度有没有影响?

2021-07-26 20:29 2 · 回答

请问题目中不是说针对multiple liabilities吗?那么为何是选择convexity最小的状况呢?

2020-03-12 21:16 1 · 回答

maximizing the cash flow yielof the bonportfolio. minimizing the fferenbetween liability ration anbonportfolio ration. A is correct. Minimizing the convexity of the bonportfolio minimizes the spersion of the bonportfolio. A non-parallel shift in the yielcurve mresult in changes in the bonportfolio’s cash flow yiel In summary, the characteristiof a bonportfolio structureto immunize a single liability are thit (1) hinitimarket value thequals or excee the present value of the liability, (2) ha portfolio Macaulration thmatches the liability’s e te, an(3) minimizes the portfolio convexity statisti对于yielcurve非平行移动,不是首先解决的是ration match,在ration match的情况下,再最小化convexity嘛?所以C为啥是错的?

2020-02-20 18:58 2 · 回答