NO.PZ202209060200004703
问题如下：
Based on the data in Exhibit 2, will the client discussed most likely be able to immunize its DB plan given the interest rate scenario described by Silver?选项：
A.Yes B.No, because of the differences in money duration C.No, because of the differences in convexity and dispersion解释：
SolutionC is correct. The money duration of the assets and liabilities are equal: 517,342,000 × 12.66 = 6,548,381,000, and 500,000,000 × 13.10 = 6,548,381,000. For parallel changes, the equal money durations and PV01 imply that assets and liabilities would move in tandem. Silver expects a bear steepener; that is, long rates will rise faster than short rates. In a bear steepener, long rates rise faster than short rates in a non-parallel fashion. Given that the assets have lower convexity and dispersion than the liabilities, they will underperform; that is, the liabilities would change by a greater amount than the assets.
A is incorrect because Silver expects a bear steepener; that is, long rates will rise faster than short rates. In a bear steepener, long rates rise faster than short rates in a non-parallel fashion. Given that the assets have lower convexity and dispersion than the liabilities, they will underperform.
B is incorrect because the differences in convexity and dispersion are unfavorable; that is, they are lower for the assets than for the liabilities. If the opposite were the case, then the liabilities would be immunized.
我以为PV01本质上和BPV是一样的，Asset的PV01比liability小，所以利率上升的时候，Asset价值下降的比Liability少，所以就免疫住了。为什么不能这么考虑？
