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Spencer · 2022年12月14日

老师请问，可以用一个含有数据的例子解释一下“非平行移动会使得Coupon reinvestment risk与Price risk无法抵消”吗

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000025

问题如下：

Leah informs Molly 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. Leah expresses concern about the risks associated with an immunization strategy for this obligation. In response, Molly makes the following statements about liability-driven investing:

  • Statement 1: Although the amount and date of SD&R’s liability is known with certainty, measurement errors associated with key parameters relative to interest rate changes may adversely affect the bond portfolios.
  • Statement 2: A cash flow matching strategy will mitigate the risk from non-parallel shifts in the yield curve.
Which of Molly’s statements about liability-driven investing is (are) correct?

选项：

A.

Statement 1 only.

B.

Statement 2 only.

C.

Both Statement 1 and Statement 2.

解释：

Correct Answer: C

C is correct. Molly is correct that measurement error can arise even in immunization strategies for Type 1 cash flows, which have set amounts and set dates. Also, a parallel shift in yield curves is a sufficient but not a necessary condition to achieve the desired outcome. Non-parallel shifts as well as twists in the yield curve can change the cash flow yield on the immunizing portfolio; however, minimizing the dispersion of cash flows in the asset portfolio mitigates this risk. As a result, both statements are correct.

老师请问，可以用一个含有数据的例子解释一下“非平行移动会使得Coupon reinvestment risk与Price risk无法抵消”吗？


但要让Coupon reinvestment risk与Price risk相互抵消有一个前提，就是：只有利率的平行移动才能一定保证price risk与Coupon reinvestment risk完全抵消。

当发生非平行移动时，两个风险有可能会出现无法抵消的情况，如果这两个风险无法抵消，就会导致Duration-matching失效。

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1 个答案

pzqa015 · 2022年12月15日

嗨，努力学习的PZer你好：


但要让Coupon reinvestment risk与Price risk相互抵消有一个前提，就是：只有利率的平行移动才能一定保证price risk与Coupon reinvestment risk完全抵消。

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这个前提是哪来的？没有这个前提

coupon reinvestment risk与price risk相互抵消的条件是mac duration=investment horizon，没有前提。


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