NO.PZ2018120301000032
问题如下：
Doug,
the newly hired chief financial officer for the City of Radford, asks the
deputy financial manager, Hui, to prepare an analysis of the current
investment portfolio and the city’s current and future obligations. The city
has multiple liabilities of different amounts and maturities relating to the
pension fund, infrastructure repairs, and various other obligations.
Hui
observes that the current fixed-income portfolio is structured to match the
duration of each liability. Previously, this structure caused the city to
access a line of credit for temporary mismatches resulting from changes in the
term structure of interest rates.
Doug asks Hui for different strategies to manage the interest rate risk of the city’s fixed-income investment portfolio against one-time shifts in the yield curve. Hui considers two different strategies:
An
upward shift in the yield curve on Strategy 2 will most likely result in the:
选项：
A.price effect cancelling the coupon reinvestment effect.
B.price effect being greater than the coupon reinvestment effect.
C.Coupon reinvestment effect being greater than the price effect.
解释：
Correct Answer: A
A is correct. An upward shift in the yield curve reduces the bond’s value but increases the reinvestment rate, with these two effects offsetting one another. The price effect and the coupon reinvestment effect cancel each other out in the case of an upward shift in the yield curve for an immunized liability.
题干给出的是Strategy 2: Immunization of the single liabilities using coupon-bearing bonds while continuously matching duration.
题目问的是：如果收益率曲线出现向上倾斜，再投资风险和价格风险的比较。
我是这么理解的：如果收益率曲线是非平行移动且向上倾斜，短端利率上涨的少，长端利率上涨的多。那么长端债券价格下降的大，短端价格下降的少，无法做到match single liability。
duration match的前提是利率出现平行移动，如果非平行移动的话，尽管持续动态的match duration，也无法将再投资风险和价格风险相抵消啊。因为还有非平行移动带来的风险呢。
这道题实在不明白。我看了所有人的问题，也没有人问到我纠结的点，请老师解读。谢谢。
