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Arnie · 2023年07月13日

选项A都不满足matching multiple liability 应该也有structure risk吧

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ201812020100000302

问题如下：

Based on Exhibit 2, the portfolio with the greatest structural risk is:

选项：

A.

Portfolio A

B.

Portfolio B

C.

Portfolio C

解释：

C is correct.

Structural risk arises from the design of the duration-matching portfolio. It is reduced by minimizing the dispersion of the bond positions, going from a barbell structure to more of a bullet portfolio that concentrates the component bonds’ durations around the investment horizon. With bond maturities of 1.5 and 11.5 years, Portfolio C has a definite barbell structure compared with those of Portfolios A and B, and it is thus subject to a greater degree of risk from yield curve twists and nonparallel shifts. In addition, Portfolio C has the highest level of convexity, which increases a portfolio’s structural risk.

选项A 都不能matching mutiple liability ，虽然convexity最小，有structure risk吗？

选项C是barbell bond ，convexity最大，也有structure risk ，两者怎么对比？ structure risk就单独的看谁的convexity大小吗？

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pzqa31 · 2023年07月14日

嗨，从没放弃的小努力你好：


Structural risk的大小，可以由债券资产的Convexity数据来判断，在满足Duration-matching的基础上，Convexity越大的资产，Structual risk越大；

也就是在收益率曲线非平行移动时，资产不能匹配负债的风险就越大。Portfolio A不满足multiple liability的条件，也就谈不上strutual risk的问题了。

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NO.PZ201812020100000302 问题如下 Based on Exhibit 2, the portfolio with the greatest structurrisk is: Portfolio Portfolio B Portfolio C C is correct. Structural risk arises from the sign of the ration-matching portfolio. It is reced minimizing the spersion of the bonpositions, going from a barbell structure to more of a bullet portfolio thconcentrates the component bon’ rations arounthe investment horizon. With bonmaturities of 1.5 an11.5 years, Portfolio C ha finite barbell structure comparewith those of Portfolios A ananit is thus subjeto a greater gree of risk from yielcurve twists annonparallel shifts. In aition, Portfolio C hthe highest level of convexity, whiincreases a portfolio’s structurrisk. 如题

2023-12-31 14:51 2 · 回答

    why structure risk is recewhen spersion is minimize thanks

2019-05-15 03:40 5 · 回答

    为什么不是Ａ呢？multiple liabilities 不是应该选ｃｏｎｖｅｘｉｔｙ　大的么？

2019-05-15 03:34 1 · 回答

    请问如果convexity越高，portfolio具有涨多跌少的性质，为什么structurrisk还越大呢？

2019-02-10 22:59 1 · 回答