zhuyijing365 · 2024年06月06日
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NO.PZ201812020100000502
问题如下：
Which duration measure should be matched when implementing Strategy 2?
选项：
A.
Key rate
B.
Modified
C.
Macaulay
解释：
C is correct.
An investor having an investment horizon equal to the bond’s Macaulay duration is effectively protected, or immunized, from the first change in interest rates, because price and coupon reinvestment effects offset for either higher or lower rates.
想问下 immunization 其实是要资产和负债对利率的敏感程度一致，不是modified duration 更合适？
发亮_品职助教 · 2024年06月07日
嗨，爱思考的PZer你好：
不是，单期负债的匹配必须是要用macaulay duration。
他这里的原理是这样，哪怕不考虑match liability，仅仅考虑只投资债券。
债券的一个属性就是，当债券的投资期等于债券自身的Macaulay duration时，债券自己可以锁定收益率，债券的投资收益率将不会再受到利率改变的影响，因为此时利率改变影响债券投资收益率的两条途径：price risk and reinvestment risk，这两条路径就会恰好抵消掉。
所以此时债券自身达到对利率免疫，会提前锁定投资收益率，利率的改变将不再产生影响。
注意，以上的条件是让债券的Macaulay duration = 债券的投资期
接下来，我们是已经找到利率免疫之后的债券再去match liability。因为利率免疫之后的债券投资收益率稳定，是很靠谱的投资，用他去匹配负债就很保险。
于是找到投资期与负债到期期限一致的免疫债券，就可以实现duration-matching，所以条件是：
债券的Macaulay duration = 债券的投资期（已经实现债券的利率免疫） = 负债的到期期限 = 单期负债的Macaulay duration （已经实现duration-matching）
所以这里的出发点是寻找利率免疫的债券，然后再去匹配负债。而利率免疫的债券投资必须是macaulay duration等于investment horizon，并非是使用modified duration。
只不过，当达到免疫之后，资产与单一负债的Macaulay duration相等，且资产、负债的折现率相等，利用modified duration = macaulay duration / (1+折现率)，我们会推出来modified duration相等。但注意，免疫的基本条件是先让macaulay duration = 投资期（负债的到期期限）
这块就专门考的是这几个duration的区分，必须要按照最基本的原理解题哈
----------------------------------------------就算太阳没有迎着我们而来，我们正在朝着它而去，加油！
NO.PZ201812020100000502 问题如下 Which ration measure shoulmatchewhen implementing Strategy 2? Key rate Mofie Macaulay C is correct. An investor having investment horizon equto the bons Macaulration is effectively protecte or immunize from the first change in interest rates, because priancoupon reinvestment effects offset for either higher or lower rates. 1、老师能帮忙区分下这三个ration嘛2、看了一些答案的解析有点混淆了，single lia和multiple的immunization的条件，我怎么记得最后都是直接asstBVP大于等于lia的BVP，然后asset的convexity大于lia的、但要尽量小？
NO.PZ201812020100000502 问题如下 Which ration measure shoulmatchewhen implementing Strategy 2? Key rate Mofie Macaulay C is correct. An investor having investment horizon equto the bons Macaulration is effectively protecte or immunize from the first change in interest rates, because priancoupon reinvestment effects offset for either higher or lower rates. 请问continuously matching ration该怎么理解？我可能是被这个单词误导了，我一直以为是“连续不断地”或者“持续地” matration，那这样就包含了利率非平行移动的情况，所以就选了A。
NO.PZ201812020100000502问题如下 Which ration measure shoulmatchewhen implementing Strategy 2? Key rate Mofie Macaulay C is correct. An investor having investment horizon equto the bons Macaulration is effectively protecte or immunize from the first change in interest rates, because priancoupon reinvestment effects offset for either higher or lower rates. 前面才说的“Kepler asks Ng for fferent strategies to manage the interest rate risk of the city’s fixeincome investment portfolio against one-time shifts in the yielcurve.”，不是说明曲线没有平行移动吗？
NO.PZ201812020100000502
