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郎布斯吃苹果 · 2022年07月19日

为什么不选A

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000014

问题如下：

Thesecond project for Serena is to help Trey immunize a $20 million portfolioof liabilities. The liabilities range from 3.00 years to 8.50 years with aMacaulay duration of 5.34 years, cash flow yield of 3.25%, portfolio convexityof 33.05, and basis point value (BPV) of $10,505. Serena suggested employing aduration-matching strategy using one of the three AAA rated bond portfoliospresented in Exhibit 2.


Basedon Exhibit 2, the portfolio with the greatest structural risk is:

选项：

A.

Portfolio A

B.

Portfolio B

C.

Portfolio C

解释：

Correct Answer: C

C is correct. Structural risk arises from the design of the duration-matching portfolio. It is reduced by minimizing the dispersion of the bond positions, going from a barbell structure to more of a bullet portfolio that concentrates the component bonds’ durations around the investment horizon. With bond maturities of 1.5 and 11.5 years, Portfolio C has a definite barbell structure compared with those of Portfolios A and B, and it is thus subject to a greater degree of risk from yield curve twists and non-parallel shifts. In addition, Portfolio C has the highest level of convexity, which increases a portfolio’s structural risk.

题目问structural risk最大，不就是问哪个资产组合的凸性最小吗？

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2 个答案

pzqa015 · 2022年07月20日

嗨，从没放弃的小努力你好：


你记反了，strcutural risk是指收益率曲线非平行移动时，免疫失败的风险，用convexity来衡量，convexity越大，则structural risk越大

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害羞的国宝🎄 · 2022年07月19日

convexity大 structure risk大

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NO.PZ2018120301000014 问题如下 Theseconprojefor Serena is to help Trey immunize a $20 million portfolioof liabilities. The liabilities range from 3.00 years to 8.50 years with aMacaulration of 5.34 years, cash flow yielof 3.25%, portfolio convexityof 33.05, anbasis point value (BPV) of $10,505. Serena suggesteemploying aration-matching strategy using one of the three Aratebonportfoliospresentein Exhibit 2.Basen Exhibit 2, the portfolio with the greatest structurrisk is: A.Portfolio B.Portfolio C.Portfolio CorreAnswer: is correct. Structurrisk arises from the sign of the ration-matching portfolio. It is receminimizing the spersion of the bonpositions, going from a barbell structure to more of a bullet portfolio thconcentrates the component bon’ rations arounthe investment horizon. With bonmaturities of 1.5 an11.5 years, Portfolio C ha finite barbell structure comparewith those of Portfolios A ananit is thus subjeto a greater gree of risk from yielcurve twists annon-parallel shifts. In aition, Portfolio C hthe highest level of convexity, whiincreases a portfolio’s structurrisk. 如果提问的是最好matching liability的组合，答案应该是B对吧

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