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treize_oz · 2023年05月31日

BPV变化差异3,是高还是低

NO.PZ2018120301000038

问题如下:

Afterselecting a portfolio to immunize Schuylkill’s multiple future outflows,Chaopraya prepares a report on how this immunization strategy would respond tovarious interest rate scenarios. The scenario analysis is presented inExhibit 3.


Discuss the effectiveness of Chaopraya’s immunization strategy in terms of duration gaps.

解释:

Correct Answer:

Chaopraya’sstrategy immunizes well for parallel shifts, with little deviation between theoutflow portfolio and the immunizing portfolio in market value and BPV. Becausethe money durations are closely matched, the differences between the outflowportfolio and the immunizing portfolio in market value are small and theduration gaps (as shown by the difference in Δ Portfolio BPVs) between theoutflow portfolio and the immunizing portfolio are small for both the upwardand downward parallel shifts.

Chaopraya’sstrategy does not immunize well for the non-parallel steepening and flatteningtwists (i.e., structural risks) shown in Exhibit 3. In those cases, theoutflow portfolio and the immunizing portfolio market values deviatesubstantially and the duration gaps between the outflow portfolio and theimmunizing portfolio are large.

老师好 我见非平行移动的情景下,MV的变化 差异很大,但BPV的变化仅3,是什么原因呢?如果不考虑其他因素,正常做题时如果看见 BPV 变化差异仅仅是3,能判断它是偏离高 还是低吗

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pzqa015 · 2023年05月31日

嗨,努力学习的PZer你好:


免疫时候不用看MV的变化,只看BPV的变化就行,MV的变化题目一般会给出值。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

treize_oz · 2023年05月31日

谢谢老师,当时第一直觉觉得 3好像差异也不大 这道题目能看出来,MV的变化是怎么算出来的吗?

pzqa015 · 2023年05月31日

嗨,爱思考的PZer你好:


BPV变化多少是大,多少是小,并没有一个定量的标准,就这道题而言,相对于变化1,BPV变化3,所以说非平行移动的免疫效果相较于平行移动的免疫效果要差。正常做题时看到BPV变化3,无法判断是高是低。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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