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