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

返回

xuxin · 2023年08月16日

老师 structural risk 和 immunization 的关系是什么？

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ201812020100000303

问题如下：

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：

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.

老师 structural risk 和 immunization 的关系是什么？可以说structural risk 越大，越无法immunization吗？上题中portfolio c 的structural risk 最大，为什们不是他最不可能immunization liability?麻烦帮忙解答一下

添加评论
1 个答案

pzqa015 · 2023年08月16日

嗨，努力学习的PZer你好：


structural risk是指收益率曲线非平行移动时，免疫策略失效的风险，所以，structural risk会导致免疫策略失效。

----------------------------------------------
努力的时光都是限量版，加油！

  • 1

    回答

  • 0

    关注

  • 249

    浏览
相关问题

NO.PZ201812020100000303 问题如下 Which portfolio in Exhibit 2 fails to meet the requirements to achieve immunization for multiple liabilities? Portfolio Portfolio Portfolio C A 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. 老师，针对multiple liability immunization需要满足的条件，讲解视频中提的是3条如下①BPV (asset) = BPV(Liability) 或者说money ration(asset)=money ration(liability)②Convexity(asset) Convexity(liability)③Convexity(asset)在第②条的基础上选尽量小的但是，框架图里写的3条是①PV(asset) PV(liability)②BPV (asset) = BPV(Liability) 或者说money ration(asset)=money ration(liability)③Convexity(asset) Convexity(liability)不一样的地方我标黄了，请老师明确下考试的时候具体以哪个版本为准，还是说稳妥起见，咱们就按4条去满足？①PV(asset) PV(liability)②BPV (asset) = BPV(Liability) 或者说money ration(asset)=money ration(liability)③Convexity(asset) Convexity(liability)④Convexity(asset)在第③条的基础上选尽量小的

2024-05-16 16:13 1 · 回答

NO.PZ201812020100000303 问题如下 Which portfolio in Exhibit 2 fails to meet the requirements to achieve immunization for multiple liabilities? Portfolio Portfolio Portfolio C A 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. 我记得是不是要求convexity要大于portfolio的convexity， 在里边再选一个最小的，A 的convexity 小于portfolio啊

2023-05-30 18:56 1 · 回答

NO.PZ201812020100000303 问题如下 Which portfolio in Exhibit 2 fails to meet the requirements to achieve immunization for multiple liabilities? Portfolio Portfolio Portfolio C A 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. 能定位下BPV这个知识点在哪个reang的哪里吗

2023-02-08 16:16 1 · 回答

NO.PZ201812020100000303 问题如下 Which portfolio in Exhibit 2 fails to meet the requirements to achieve immunization for multiple liabilities? Portfolio Portfolio Portfolio C A 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. 老师，single liability 和multiple liability 免疫条件不一样吧？single的需要看BPV吗？

2022-11-21 15:40 1 · 回答