NO.PZ201812020100001203
问题如下：
After
selecting a portfolio to immunize Schuylkill’s multiple future outflows,
Chaopraya prepares a report on how this immunization strategy would respond to
various interest rate scenarios. The scenario analysis is presented in
Exhibit 3.
Discuss
the effectiveness of Chaopraya’s immunization strategy in terms of duration
gaps.
选项：
解释：
Answer:
Chaopraya’s
strategy immunizes well for parallel shifts, with little deviation between the
outflow portfolio and the immunizing portfolio in market value and BPV. Because
the money durations are closely matched, the differences between the outflow
portfolio and the immunizing portfolio in market value are small and the
duration gaps (as shown by the difference in Δ Portfolio BPVs) between the
outflow portfolio and the immunizing portfolio are small for both the upward
and downward parallel shifts.
Chaopraya’s
strategy does not immunize well for the non-parallel steepening and flattening
twists (i.e., structural risks) shown in Exhibit 3. In those cases, the
outflow portfolio and the immunizing portfolio market values deviate
substantially and the duration gaps between the outflow portfolio and the
immunizing portfolio are large.
the immunization strategy is more effective under parallel shift than under non-parallel shift.
under parallel shift, there is small difference in the change of market value and the change of portfolio BPV between immunizing portfolio and outflow portfolio.
under non-parallel shift, there is big difference in the change of market value and the change of portfolio BPV between immunizing portfolio and outflow portfolio.
so the strategy is effective under parallel shift
