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rikkisong72 · 2023年07月14日

这道题跟是不是bear steepening是不是没什么关系

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NO.PZ202209060200004703

问题如下:

Based on the data in Exhibit 2, will the client discussed most likely be able to immunize its DB plan given the interest rate scenario described by Silver?

选项:

A.Yes B.No, because of the differences in money duration C.No, because of the differences in convexity and dispersion

解释:

Solution

C is correct. The money duration of the assets and liabilities are equal: 517,342,000 × 12.66 = 6,548,381,000, and 500,000,000 × 13.10 = 6,548,381,000. For parallel changes, the equal money durations and PV01 imply that assets and liabilities would move in tandem. Silver expects a bear steepener; that is, long rates will rise faster than short rates. In a bear steepener, long rates rise faster than short rates in a non-parallel fashion. Given that the assets have lower convexity and dispersion than the liabilities, they will underperform; that is, the liabilities would change by a greater amount than the assets.

A is incorrect because Silver expects a bear steepener; that is, long rates will rise faster than short rates. In a bear steepener, long rates rise faster than short rates in a non-parallel fashion. Given that the assets have lower convexity and dispersion than the liabilities, they will underperform.

B is incorrect because the differences in convexity and dispersion are unfavorable; that is, they are lower for the assets than for the liabilities. If the opposite were the case, then the liabilities would be immunized.

这道题跟是不是bear steepening是不是没什么关系?其实就是只要知道这里是非平行移动的意思,免疫失效,对吧?

1 个答案

pzqa31 · 2023年07月14日

嗨,爱思考的PZer你好:


是的

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努力的时光都是限量版,加油!

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