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金融民工阿聪 · 2023年02月01日

关于CFY

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000015

问题如下：

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


Which portfolio in Exhibit 2 fails to meet the requirements to achieve immunization for multiple liabilities?

选项：

A.

Portfolio A

B.

Portfolio B

C.

Portfolio C

解释：

Correct Answer: A

A is correct. The two requirements to achieve immunization for multiple liabilities are for the money duration (or BPV) of the asset and liability to match and for the asset convexity to exceed the convexity of the liability. Although all three portfolios have similar BPVs, Portfolio A is the only portfolio to have a lower convexity than that of the liability portfolio (31.98, versus 33.05 for the $20 million liability portfolio), and thus, it fails to meet one of the two requirements needed for immunization.

Cash flow yield我记得在之前说是最好用的，且我们的目标就是要匹配cash flow yield，为什么这里不看了呢？

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2 个答案
已采纳答案

pzqa015 · 2023年02月01日

嗨，努力学习的PZer你好：


多笔现金流免疫的条件是：

Value of asset≥Value of liability；

BPV of asset=BPV of liability；

convexity of asset＞convexity of liability，且是minimize的。

用不上CFY这个条件。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

Enno · 2023年02月12日

条件应该符合convexity of asset＞convexity of liability 但是题目里liability的portfolio convexity是33.05，选A的话asset的convexity虽然最小，但是比liability的convexity小，是有问题的。是不是应该选B更合适？

Enno · 2023年02月12日

啊……请无视我……题目问的是fails……

pzqa015 · 2023年02月12日

嗨，爱思考的PZer你好：


加油

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努力的时光都是限量版，加油！

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