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惠惠 · 2025年01月04日

这类题可以直接选Convexity最大的秒吗

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000014

问题如下：

Thesecond project for Serena is to help Trey immunize a $20 million portfolioof liabilities. The liabilities range from 3.00 years to 8.50 years with aMacaulay duration of 5.34 years, cash flow yield of 3.25%, portfolio convexityof 33.05, and basis point value (BPV) of $10,505. Serena suggested employing aduration-matching strategy using one of the three AAA rated bond portfoliospresented in Exhibit 2.


Basedon Exhibit 2, the portfolio with the greatest structural risk is:

选项：

A.

Portfolio A

B.

Portfolio B

C.

Portfolio C

解释：

Correct Answer: C

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’ durations 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.

这类题可以直接选Convexity最大的秒吗？

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1 个答案

发亮_品职助教 · 2025年01月05日

可以。

在其他条件一样的情况下（主要是macaulay duration, cash flow yield基本差不多的情况下），convexity可以衡量现金流的离散程度和structural risk的大小。

convexity越大，则现金流越离散，structural risk越大。

convexity越小，现金流就越集中，structural risk越小。


所以碰到这类题，就直接看convexity的大小判断即可。

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