NO.PZ202209060200004001
问题如下：
Puhuyesva’s approach to asset/liability management would least likely be characterized as:
选项：
A.contingent immunization. B.cash flow matching. C.derivatives overlay.解释：
Solution
B is correct. Puhuyesva matches interest rate sensitivities of the asset portfolio to the insurance liability portfolio. This is a duration-matching approach, not a cash flow–matching approach. She makes portfolio decisions based on whether she has strong views about future interest rate movements; therefore, contingent immunization could be used to describe her approach. She uses derivatives to adjust portfolio duration; therefore, derivatives overlay could partly be used to describe her approach.
A is incorrect because Puhuyesva will alter the duration of the asset portfolio if she has strong views on future interest rate changes, which is a contingent immunization strategy.
C is incorrect because Puhuyesva uses derivatives to alter the asset portfolio’s duration, which is a derivatives overlay approach.
1.关于A选项的解释，为什么对改变资产端的duration就是contingent immunization strategy，contingent immunization strategy不应该是对Surplus的active管理吗？
2.Derivatives overlay approach 是否为和duration-matching approach，cash flow–matching approach并列的平行方法？本题用到了前两者？
