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Karen · 2023年06月08日

请问答案是不是有问题，asset的convexity应该包含liability的convexity，答案应该选B

  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.

请问答案是不是有问题，asset的convexity应该包含liability的convexity，答案应该选B

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pzqa015 · 2023年06月09日

嗨，努力学习的PZer你好：


题目问的是fail to meet the requirements to achieve immunization，资产的convexity应该大于负债的convexity（资产端现金流包住负债端现金流），A选项的convexity小于负债的convexity，所以A是fail to meet

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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