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dognmnm · 2022年03月27日

market value weight duartion

  1. CFA III
  2. Fixed Income

NO.PZ2019103001000026

问题如下：

Mowery informs Compton that DFC has a single $500 million liability due in nine years, and she wants SD&R to construct a bond portfolio that earns a rate of return sufficient to pay off the obligation.

Compton provides the four US dollar–denominated bond portfolios in Exhibit 1 for consideration. Compton explains that the portfolios consist of non-callable, investment-grade corporate and government bonds of various maturities because zero-coupon bonds are unavailable.

Based on Exhibit 1, which of the portfolios will best immunize SD&R’s single liability?

选项：

A.

Portfolio 1

B.

Portfolio 2

C.

Portfolio 3

解释：

B is correct.

In the case of a single liability, immunization is achieved by matching the bond portfolio’s Macaulay duration with the horizon date. DFC has a single liability of $500 million due in nine years. Portfolio 2 has a Macaulay duration of 8.9, which is closer to 9 than that of either Portfolio 1 or 3. Therefore, Portfolio 2 will best immunize the portfolio against the liability.

想问一下啥事market value weight duartion? macaulay duartion不就是用市场价值加权的duration吗?

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1 个答案

pzqa015 · 2022年03月28日

嗨，爱思考的PZer你好：


mac duration最标准的公式是把portfolio中各个时间点的现金流加总，按照portfolio value=∑(PVCFi/portfolio value)*t计算出来的。

实务中，我们通常用个券mac duration的加权平均作为portfolio duration，是一种简化的做法，二者并不相等，也因此引入了免疫过程中的model risk。

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NO.PZ2019103001000026 Portfolio 2 Portfolio 3 B is correct. In the case of a single liability, immunization is achievematching the bonportfolio’s Macaulration with the horizon te. C ha single liability of $500 million e in nine years. Portfolio 2 ha Macaulration of 8.9, whiis closer to 9 ththof either Portfolio 1 or 3. Therefore, Portfolio 2 will best immunize the portfolio against the liability. 因为4在Macauley ration和2一样接近，且4convexity更小，是不是match效果更好？

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NO.PZ2019103001000026 请问选择的时候是不是一定要选择MACAULRATION大于PORTFOLIO的，本题也就是要大于9年

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NO.PZ2019103001000026 Portfolio 2 Portfolio 3 B is correct. In the case of a single liability, immunization is achievematching the bonportfolio’s Macaulration with the horizon te. C ha single liability of $500 million e in nine years. Portfolio 2 ha Macaulration of 8.9, whiis closer to 9 ththof either Portfolio 1 or 3. Therefore, Portfolio 2 will best immunize the portfolio against the liability. 该题我们有两个方法1.ration matching，看Mration与li投资期9年是否一致；2.当用Cash flow matching时，是不是就看asset端maturity与liab投资期是否一致就行？

2021-07-26 22:43 1 · 回答

NO.PZ2019103001000026 老师，single liability 要matmacaulration, 那R18基础讲义15页matching条件asset portfolio's ration=liability portfolio's ration里的ration是指的哪种ration？

2021-06-08 15:54 1 · 回答