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garnettq · 2018年06月11日

Multiple Liability Duration Match Method 今年变了吗?

hi,  just wanted to clarify, for the Multiple Liability Duration Match Method:

one of the conditions in the past year was the dispersion of the cash flow is greater than the liability, i.e. the distribution of Cash Flow to Asset is greater than Liability ->早过开始晚过结束. Is this condition being released now? I don't see the condition being mentioned in the class:  it is MVa > MVl; BPVa= BPVl; Convexity A > Convexity l.


Kindly verify. 

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发亮_品职助教 · 2018年06月13日

对的!今年协会换了参考书,所以说法也变了。

下图是今年原版书的说法:

去年教材的distribution of durations of individual portfolio assets must have a wider range than the distribution of the liabilities,对应到今年教材Convexity of Asset大于Convexity of liability。

如果要对大部分非平行移动免疫,还需要在Convexity of asset大于Convexity of liability的基础上,使得Convexity of asset尽量小(靠近convexity of liability)。

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