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西红柿面 · 2025年04月08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.PZ2018120301000038

问题如下:

After selecting a portfolio to immunize Schuylkill’s multiple future outflows, Chaopraya prepares a report on how this immunization strategy would respond to various interest rate scenarios. The scenario analysis is presented in Exhibit 3.


Discuss the effectiveness of Chaopraya’s immunization strategy in terms of duration gaps.

选项:

解释:

Correct Answer:

Chaopraya’s strategy immunizes well for parallel shifts, with little deviation between the outflow portfolio and the immunizing portfolio in market value and BPV. Because the money durations are closely matched, the differences between the outflow portfolio and the immunizing portfolio in market value are small and the duration gaps (as shown by the difference in Δ Portfolio BPVs) between the outflow portfolio and the immunizing portfolio are small for both the upward and downward parallel shifts.

Chaopraya’s strategy does not immunize well for the non-parallel steepening and flattening twists (i.e., structural risks) shown in Exhibit 3. In those cases, the outflow portfolio and the immunizing portfolio market values deviate substantially and the duration gaps between the outflow portfolio and the immunizing portfolio are large.

For the parallel shift, the immunization strategy works well. Because the difference of market value, cash flow yield and portfolio BPV is small. So the duration gap is small and matched.

For the Non-parallel shift, the immunization strategy works Bad. Because the difference of market value and cash flow yield is large. So the duration gap is big and not matched.

 

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