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北欧神父 · 2024年06月20日

如果两者冲突了看哪个

  1. CFA III
  2. Fixed Income

NO.PZ2023032703000022

问题如下：

Serena Soto is a risk management specialist with Liability Protection Advisors. Trey Hudgens, CFO of Kiest Manufacturing, enlists Soto’s help with three projects.

The second project for Soto is to help Hudgens immunize a $20 million portfolio of liabilities. The liabilities range from 3.00 years to 8.50 years with a Macaulay duration of 5.34 years, cash flow yield of 3.25%, portfolio convexity of 33.05, and basis point value (BPV) of $10,505. Soto suggested employing a duration-matching strategy using one of the three AAA rated bond portfolios presented in Exhibit 2.


Based on Exhibit 2, the portfolio with the greatest structural risk is:

选项：

A.

Portfolio A.

B.

Portfolio B.

C.

Portfolio C.

解释：

C is correct. Structural risk arises from the design of the duration-matching portfolio. It is reduced by minimizing the dispersion of the bond positions, going from a barbell structure to more of a bullet portfolio that concentrates the component bonds’ duration around the investment horizon. With bond maturities of 1.5 and 11.5 years, Portfolio C has a definite barbell structure compared with those of Portfolios A and B, and it is thus subject to a greater degree of risk from yield curve twists and non-parallel shifts. In addition, Portfolio C has the highest level of convexity, which increases a portfolio’s structural risk.

目前我看的是convexity和先进流结构（bullet，barbell这些），如果这两项冲突的话，应该以哪个为准呢

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已采纳答案

发亮_品职助教 · 2024年06月20日

不会冲突！这里有个结论。


现金流结构（barbell,bullet ladderd）和convexity的大小是有固定关系的，两者不会冲突。


三个组合在其他条件一致的背景下（Macaulay Duration，cash flow yied一致or近似相等）Barbell的Convexity最大，Laddered的convexity居中，Bullet的convexity最小。


因为barbell的现金流最分散，衡量现金流分散程度的dispersion数据最大，而在其他条件一致的背景下，Dispersion和convexity成正比，所以barbell的convexity最大


Laddered的Convexity居中，因为laddered的现金流分散程度居中（dispersion数据居中）

Bullet的convexity最小，因为bullet的现金流最集中（disperion数据最小）


在这道题里面，可以判断Portfolio A是bullet，Portfolio B是Laddered，Portfolio C是barbell，这个可以从债券的到期结构判断，A的2个债券到期日相对集中，B的3个债券期限相对均匀，C的2个债券期限相对最分散、到期日集中在两端。


所以可知Portfolio A的Convexity最小，Portfolio B居中，Portfolio C最大，从表格里面的数据也可以进一步验证这个关系。


所以下面这个结论一定成立，其他条件一致的背景下，convexity的大小排序是：

Barbell > laddered > bullet

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