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沪上小王子 · 2024年02月05日

structure risk最大的选择标准是不是看convexity这一项，就可以了？

  1. CFA III
  2. Fixed Income

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.

B.

Portfolio B.

C.

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.

我看答案的解析是从portfolio的组成类型（barbell等等）去判断的，我做这类题目直接看convexity，最大的convexity就是最大的structural risk，这样是否正确？

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已采纳答案

pzqa015 · 2024年02月06日

嗨，努力学习的PZer你好：


是正确的，看convexity最大的就是structural risk最大的。

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加油吧，让我们一起遇见更好的自己！

pzqa015 · 2024年02月05日

嗨，努力学习的PZer你好：


duration不相近或相等的话，没法比较structural risk，但我的建议这类题目不要从barbell的角度来判断，从表格给的数来判断，这样更加稳妥。

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努力的时光都是限量版，加油！

pzqa015 · 2024年02月05日

嗨，努力学习的PZer你好：


只有duration相近或相等时，barbell的convexity才是最大的，如果没有duration相近或相等的条件，不能直接认为barbell的convexity最大。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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