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西红柿面 · 2025年04月07日

可以烦请老师帮忙看下这样回答是否可以,实在是麻烦老师了!

NO.PZ2023032703000087

问题如下:

Kevin Baker is a fixed income portfolio manager at White Capital Inc. (WC). WC is a US-based investment firm specializing in fixed income and alternative investments and manages accounts for many institutional clients.

Baker meets with a client, Thomas Zerke, who wants to immunize a single 8-year liability of $65,000,000. The present value of the liability is $55,450,550.

Baker explains to Zerke that immunization is a process of structuring and managing a fixed income bond portfolio to minimize the variance in the realized rate of return over a known time horizon. This variance arises from the volatility of future interest rates. Baker adds that there are several available methods for immunizing a liability, including cash flow matching, duration matching, and contingent immunization. (2023Mock A)

A. Describe the cash flow matching and the duration matching immunization methods. (答案只需写出和cash flow matching相关的内容)

选项:

解释:

Correct Answer:

Cash flow matching is an immunization approach that attempts to ensure that all future liability payouts are matched precisely by cash flows from bonds (coupons and bond principal) or fixed income derivatives. A motive for cash flow matching can be accounting defeasance, whereby both the assets and liabilities are removed from the balance sheet.

Cash flow matching is using bonds with different durations to match the future liabilities. Bonds are all hold to maturity so Baker could buy a 8-year zero-coupon bond with the principal value of 65,000,000.

我是这么回答的,但是看答案后面还写了一句: A motive for cash flow matching can be accounting defeasance, whereby both the assets and liabilities are removed from the balance sheet. 这个有必要写吗

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NO.PZ2023032703000087 问题如下 Kevin Baker is a fixeincome portfoliomanager White CapitIn(WC). WC is a US-baseinvestment firm specializing in fixeincome analternativeinvestments anmanages accounts for many institutionclients. Baker meets with a client, ThomZerke, who wants to immunize asingle 8-yeliability of $65,000,000. The present value of the liability is$55,450,550. Baker explains to Zerke thimmunization is a process of structuringanmanaging a fixeincome bonportfolio to minimize the varianin therealizerate of return over a known time horizon. This varianarises fromthe volatility of future interest rates. Baker as ththere are severalavailable metho for immunizing a liability, inclung cash flow matching,ration matching, ancontingent immunization. (2023MoA) scrithe cash flow matching antheration matching immunization metho. (答案只需写出和cash flow matching相关的内容) CorreAnswer:Cash flow matching is immunization approathattempts to ensure thall future liability payouts are matcheprecisely cash flows from bon (coupons anbonprincipal) or fixeincome rivatives. A motive for cash flow matching caccounting feasance, whereboth the assets anliabilities are removefrom the balansheet. 这道题不是问具体措施吗?我看答案怎么回答的是这个方法的定义cash flow matching: 1.buy a 8 years zero coupon treasurary bonwith $65000000 pvalue2.buy a 8 years coupon paying treasuary bonwith pvalue plus fincoupon income, equor larger th65000000 ration matching1.buy a treasuary bonwith ration equto 9

2025-01-24 13:46 1 · 回答