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

stevenxing · 2022年08月13日

这题为什么不是比较market value weighted duration？

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ201812020100000406

问题如下：

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.

RT

添加评论
1 个答案

pzqa015 · 2022年08月14日

嗨，努力学习的PZer你好：


portfolio mac duration的准确计算公式是∑(PVCFi/PV)*t，其中，PV、PVCFi是用cash flow yield做折现率进行折现得到的，这种方法得到的portfolio mac duration的缺点是计算太繁琐，因此，实务中通常用weighted mac duration来作为portfolio duration的近似值。

考试中，如果已知portfolio mac duration，那么判断免疫条件时，必须用portfolio mac duration，如果没给portfolio mac duration，那么可以用weighted duration来作为portfolio mac duration的近似值来判断免疫条件。

所以，如果题目已知了portfolio mac duration，那么必须用它来判断，不能用weighted duration，只有在没有portfolio mac duration时，才可以用weighted duration


----------------------------------------------
加油吧，让我们一起遇见更好的自己！

  • 1

    回答

  • 3

    关注

  • 586

    浏览
相关问题

NO.PZ201812020100000406 问题如下 Baseon Exhibit 1, whiof the portfolios will best immunizeSR’s single liability? Portfolio 1 Portfolio 2 Portfolio 3 Bis correct. In the case of a single liability, immunization is achievebymatching the bonportfolio’s Macaulration with the horizon te. C hasa single liability of $500 million e in nine years. Portfolio 2 haMacaulration of 8.9, whiis closer to 9 ththof either Portfolio 1or 3. Therefore, Portfolio 2 will best immunize the portfolio against theliability. 老师，这题我想明确下，single liability immunizatio需要满足3个条件①MV（asset)≥MV(liability)②Macaulration(asset)=liability ration③min. asset convexity其中，第②点Macaulration(asset)=liability ration的意思是说 asset macaulration和liability ration接近？还是说 asset的macaulration一定要大于liability ration?

2024-05-16 16:50 2 · 回答

NO.PZ201812020100000406 问题如下 Baseon Exhibit 1, whiof the portfolios will best immunizeSR’s single liability? Portfolio 1 Portfolio 2 Portfolio 3 Bis correct. In the case of a single liability, immunization is achievebymatching the bonportfolio’s Macaulration with the horizon te. C hasa single liability of $500 million e in nine years. Portfolio 2 haMacaulration of 8.9, whiis closer to 9 ththof either Portfolio 1or 3. Therefore, Portfolio 2 will best immunize the portfolio against theliability. average time to maturity 就是组合里资产的Mac.r加权平均得到的对吗？然后 Mac.r 就是将组合里的各项资产视为整体用cash flow yiel个方法得到的每笔现金流现值求得的权重吗？假设组合3的Macr和组合2一样，那是不是选3，因为convexity相对小？

2024-05-02 16:05 1 · 回答

NO.PZ201812020100000406 问题如下 Baseon Exhibit 1, whiof the portfolios will best immunizeSR’s single liability? Portfolio 1 Portfolio 2 Portfolio 3 Bis correct. In the case of a single liability, immunization is achievebymatching the bonportfolio’s Macaulration with the horizon te. C hasa single liability of $500 million e in nine years. Portfolio 2 haMacaulration of 8.9, whiis closer to 9 ththof either Portfolio 1or 3. Therefore, Portfolio 2 will best immunize the portfolio against theliability. 这道题说C负债的PV是500million，并没有已知portfolio 1-4的PV信息，所以，免疫的第一个条件用不上。第二个条件是minvestment horizion，C的investment horizon为9年，所以，要选择portfolio m9年最近的，B是最接近9的。对于第一个条件，PV of asset≥PV of liability。为了节省成本，可以让PV of asset=PV of liability，但为了保证成功，最好让PV of asset＞PV of liability。这个部分我理解了 1.single liability 不是需要min convexity 吗？那样应该选C啊？2.是需要先满足asset大于ration of liability的条件吗？才考虑convexity

2023-01-31 16:20 1 · 回答

NO.PZ201812020100000406 问题如下 Baseon Exhibit 1, whiof the portfolios will best immunizeSR’s single liability? Portfolio 1 Portfolio 2 Portfolio 3 Bis correct. In the case of a single liability, immunization is achievebymatching the bonportfolio’s Macaulration with the horizon te. C hasa single liability of $500 million e in nine years. Portfolio 2 haMacaulration of 8.9, whiis closer to 9 ththof either Portfolio 1or 3. Therefore, Portfolio 2 will best immunize the portfolio against theliability. 题目里问的不是SR的负债吗？怎么解析里又变成C的了？C ha single $500 million liability e in nine years

2023-01-09 10:32 1 · 回答