NO.PZ201812020100001203
问题如下：
After
selecting a portfolio to immunize Schuylkill’s multiple future outflows,
Chaopraya prepares a report on how this immunization strategy would respond to
various interest rate scenarios. The scenario analysis is presented in
Exhibit 3.
Discuss
the effectiveness of Chaopraya’s immunization strategy in terms of duration
gaps.
选项：
解释：
Answer:
Chaopraya’s
strategy immunizes well for parallel shifts, with little deviation between the
outflow portfolio and the immunizing portfolio in market value and BPV. Because
the money durations are closely matched, the differences between the outflow
portfolio and the immunizing portfolio in market value are small and the
duration gaps (as shown by the difference in Δ Portfolio BPVs) between the
outflow portfolio and the immunizing portfolio are small for both the upward
and downward parallel shifts.
Chaopraya’s
strategy does not immunize well for the non-parallel steepening and flattening
twists (i.e., structural risks) shown in Exhibit 3. In those cases, the
outflow portfolio and the immunizing portfolio market values deviate
substantially and the duration gaps between the outflow portfolio and the
immunizing portfolio are large.
老师好，我的答案如下，请批改。
Chaopraya’s immunization strategy is more effective when the yield curve is having a parallel shift than non-parallel shift.
when the yield curve is have an upward or downward shift, the difference between immunizing portfolio and outflow portfolio is quite small in BPV changes, cash flow changes and market value changes.
However, when the yield curve is have a non-parallel shift, market value changes, BPV changes and cash flow changes are larger.
另外我没说duration gap, 但我说了BPV changes的改变大和不大，这ok吗？cash flow yield这里的变化是怎么引起的？谢谢
