NO.PZ202209060200004604
问题如下：
Which of the following three strategies is least likely appropriate for the plans in Exhibit 2?选项：
A.Duration matching B.Cash flow matching C.Contingent immunization解释：
SolutionB is correct. Cash flow matching is least appropriate for both plans. In both the Lawson and Wharton plans, participants are entitled to receive a monthly benefit. Cash flow matching entails building a dedicated portfolio of zero-coupon or fixed-income bonds to ensure there are sufficient cash inflows to pay the scheduled cash outflows. However, such a strategy is impractical and can lead to large cash flow holdings between payment dates, resulting in reinvestment risk and forgone returns on cash holdings.
C is incorrect. Contingent immunization is an appropriate strategy for both plans. Contingent immunization allows for active bond portfolio management until a minimum threshold in the surplus is reached. The threshold of 5% (of assets greater than liabilities) is exceeded in both plans; the Lawson portfolio has a surplus of 7.7%, and the Wharton portfolio has a surplus of 11.8%.
A is incorrect. Duration management is also appropriate for both the Lawson and Wharton plans. In this case, however, because they enjoy a surplus of assets to liabilities, the contingent immunization strategy is most appropriate. Since the plans are in the process of being advised by Pavonia, Wharton would likely be advised to eliminate the duration gap in similar form to Lawson.
老师好，关于cash flow matching不合适的原因，答案的解释我不是很理解：“Cash flow matching is least appropriate for both plans. In both the Lawson and Wharton plans, participants are entitled to receive a monthly benefit. Cash flow matching entails building a dedicated portfolio of zero-coupon or fixed-income bonds to ensure there are sufficient cash inflows to pay the scheduled cash outflows. However, such a strategy is impractical and can lead to large cash flow holdings between payment dates, resulting in reinvestment risk and forgone returns on cash holdings.”
这句话翻译过来意思不就相当于是说cash flow matching操作难度特别高，特别难办，所以不行么——这个感觉说了和没说一样啊，要这么说所有的strategy就都用不了cash flow matching了
这道题我选的是duration matching，duration matching不是要求asset的duration要大于等于liability么，这里明显是asset duration小啊，所以我理解这个肯定不是duration matching
