NO.PZ2018120301000025
问题如下：
Leah informs Molly that DFC has a single $500 million liability due in nine years, and she wants SD&R to construct a bond portfolio that earns a rate of return sufficient to pay off the obligation. Leah expresses concern about the risks associated with an immunization strategy for this obligation. In response, Molly makes the following statements about liability-driven investing:
Which
of Molly’s statements about liability-driven investing is (are) correct?
选项：
A.
Statement 1 only.
B.
Statement 2 only.
C.
Both Statement 1 and Statement 2.
解释：
Correct Answer: C
C is correct. Molly is correct that measurement error can arise even in immunization strategies for Type 1 cash flows, which have set amounts and set dates. Also, a parallel shift in yield curves is a sufficient but not a necessary condition to achieve the desired outcome. Non-parallel shifts as well as twists in the yield curve can change the cash flow yield on the immunizing portfolio; however, minimizing the dispersion of cash flows in the asset portfolio mitigates this risk. As a result, both statements are correct.
single liability，CF matching中，asset的bond的coupon和principal repayment可以完美匹配liab到期日和金额，随意没有RI risk和Price risk。
那如果是multiple liabilities呢，CF matching从后往前找每期bond匹配liab现金流的时候是否会受到市场利率变动的影响？
