NO.PZ2023032703000022
问题如下：
Serena Soto is a risk management specialist with Liability Protection Advisors. Trey Hudgens, CFO of Kiest Manufacturing, enlists Soto’s help with three projects.
The second project for Soto is to help Hudgens 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. Soto suggested employing a duration-matching strategy using one of the three AAA rated bond portfolios presented in Exhibit 2.
Based on Exhibit 2, the portfolio with the greatest structural risk is:
选项：
A.Portfolio A.
Portfolio B.
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’ duration 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 non-parallel shifts. In addition, Portfolio C has the highest level of convexity, which increases a portfolio’s structural risk.
好像也不是immunization 的条件？
