开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

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

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

1 个答案
已采纳答案

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

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

  • 1

    回答
  • 0

    关注
  • 383

    浏览
相关问题

NO.PZ2018120301000015 问题如下 Theseconprojefor Serena is to help Trey immunize a $20 million portfolioof liabilities. The liabilities range from 3.00 years to 8.50 years with aMacaulration of 5.34 years, cash flow yielof 3.25%, portfolio convexityof 33.05, anbasis point value (BPV) of $10,505. Serena suggesteemploying aration-matching strategy using one of the three Aratebonportfoliospresentein Exhibit 2.Whichportfolio in Exhibit 2 fails to meet the requirements to achieveimmunization for multiple liabilities? Portfolio Portfolio Portfolio CorreAnswer: is correct. The two requirements to achieve immunization for multiple liabilities are for the money ration (or BPV) of the asset anliability to matanfor the asset convexity to exceethe convexity of the liability. Although all three portfolios have similBPVs, Portfolio A is the only portfolio to have a lower convexity ththof the liability portfolio (31.98, versus 33.05 for the $20 million liability portfolio), anthus, it fails to meet one of the two requirements neefor immunization. A答案

2024-01-08 21:31 1 · 回答

NO.PZ2018120301000015问题如下 Theseconprojefor Serena is to help Trey immunize a $20 million portfolioof liabilities. The liabilities range from 3.00 years to 8.50 years with aMacaulration of 5.34 years, cash flow yielof 3.25%, portfolio convexityof 33.05, anbasis point value (BPV) of $10,505. Serena suggesteemploying aration-matching strategy using one of the three Aratebonportfoliospresentein Exhibit 2.Whichportfolio in Exhibit 2 fails to meet the requirements to achieveimmunization for multiple liabilities? Portfolio Portfolio Portfolio CorreAnswer: is correct. The two requirements to achieve immunization for multiple liabilities are for the money ration (or BPV) of the asset anliability to matanfor the asset convexity to exceethe convexity of the liability. Although all three portfolios have similBPVs, Portfolio A is the only portfolio to have a lower convexity ththof the liability portfolio (31.98, versus 33.05 for the $20 million liability portfolio), anthus, it fails to meet one of the two requirements neefor immunization. 如果不考虑其他因素,仅仅看cash flow yiel哪个asset portfolio的cash flow yiel以满足liability portfolio的cash flow yiel 是大于还是小于好?

2023-07-15 19:21 2 · 回答

NO.PZ2018120301000015问题如下 Theseconprojefor Serena is to help Trey immunize a $20 million portfolioof liabilities. The liabilities range from 3.00 years to 8.50 years with aMacaulration of 5.34 years, cash flow yielof 3.25%, portfolio convexityof 33.05, anbasis point value (BPV) of $10,505. Serena suggesteemploying aration-matching strategy using one of the three Aratebonportfoliospresentein Exhibit 2.Whichportfolio in Exhibit 2 fails to meet the requirements to achieveimmunization for multiple liabilities? Portfolio Portfolio Portfolio CorreAnswer: is correct. The two requirements to achieve immunization for multiple liabilities are for the money ration (or BPV) of the asset anliability to matanfor the asset convexity to exceethe convexity of the liability. Although all three portfolios have similBPVs, Portfolio A is the only portfolio to have a lower convexity ththof the liability portfolio (31.98, versus 33.05 for the $20 million liability portfolio), anthus, it fails to meet one of the two requirements neefor immunization. 如题,为什么asset 凸度要大于负债凸度才可以呢?

2023-04-29 19:04 1 · 回答

NO.PZ2018120301000015 问题如下 Theseconprojefor Serena is to help Trey immunize a $20 million portfolioof liabilities. The liabilities range from 3.00 years to 8.50 years with aMacaulration of 5.34 years, cash flow yielof 3.25%, portfolio convexityof 33.05, anbasis point value (BPV) of $10,505. Serena suggesteemploying aration-matching strategy using one of the three Aratebonportfoliospresentein Exhibit 2.Whichportfolio in Exhibit 2 fails to meet the requirements to achieveimmunization for multiple liabilities? Portfolio Portfolio Portfolio CorreAnswer: is correct. The two requirements to achieve immunization for multiple liabilities are for the money ration (or BPV) of the asset anliability to matanfor the asset convexity to exceethe convexity of the liability. Although all three portfolios have similBPVs, Portfolio A is the only portfolio to have a lower convexity ththof the liability portfolio (31.98, versus 33.05 for the $20 million liability portfolio), anthus, it fails to meet one of the two requirements neefor immunization. 這裡少了一個資產要大於負債的條件嗎? 要不然三個應該都不能匹配吧

2023-02-23 12:13 1 · 回答