开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

sion · 2025年05月10日

B不是也对吗

* 问题详情,请 查看题干

NO.PZ202209060200004703

问题如下:

Based on the data in Exhibit 2, will the client discussed most likely be able to immunize its DB plan given the interest rate scenario described by Silver?

选项:

A.Yes B.No, because of the differences in money duration C.No, because of the differences in convexity and dispersion

解释:

Solution

C is correct. The money duration of the assets and liabilities are equal: 517,342,000 × 12.66 = 6,548,381,000, and 500,000,000 × 13.10 = 6,548,381,000. For parallel changes, the equal money durations and PV01 imply that assets and liabilities would move in tandem. Silver expects a bear steepener; that is, long rates will rise faster than short rates. In a bear steepener, long rates rise faster than short rates in a non-parallel fashion. Given that the assets have lower convexity and dispersion than the liabilities, they will underperform; that is, the liabilities would change by a greater amount than the assets.

A is incorrect because Silver expects a bear steepener; that is, long rates will rise faster than short rates. In a bear steepener, long rates rise faster than short rates in a non-parallel fashion. Given that the assets have lower convexity and dispersion than the liabilities, they will underperform.

B is incorrect because the differences in convexity and dispersion are unfavorable; that is, they are lower for the assets than for the liabilities. If the opposite were the case, then the liabilities would be immunized.

如题

1 个答案

发亮_品职助教 · 2025年05月11日

这道题的money duration或者是BPV需要自己算一个。题目表格给的PV01是错误的数据,用不了。这是一个协会补充的题,题目质量一般,不太严谨哈。


资产的Money duration = 517,342,000 × 12.66 = 6549549720

转换成BPV = 6549549720 * 0.0001 = 654,955

负债的money duration = 500,000,000 × 13.10 = 6550000000

转换成BPV=6550000000*0.0001 = 655,000


所以看BPV的差异,65万左右的BPV,差值在40左右,已经是BPV差异很小了。可以说资产与负债的BPV/Money duration很接近,已经满足了duration-matching的基本条件。所以选项B的说法不对。


在这道题里面,资产的convexity是小于负债的convexity的,这点不满足匹配的要求哈。因为要求是资产的convexity > 负债的convexity

  • 1

    回答
  • 0

    关注
  • 12

    浏览
相关问题

NO.PZ202209060200004703问题如下Baseon the ta in Exhibit 2, will the client scussemost likely able to immunize its plgiven the interest rate scenario scribeSilver?A.YesB.No, because of the fferences in money rationC.No, because of the fferences in convexity anspersionSolutionC is correct. The money ration of the assets anliabilities are equal: 517,342,000 × 12.66 = 6,548,381,000, an500,000,000 × 13.10 = 6,548,381,000. For parallel changes, the equmoney rations anPV01 imply thassets anliabilities woulmove in tanm. Silver expects a besteepener; this, long rates will rise faster thshort rates. In a besteepener, long rates rise faster thshort rates in a non-parallel fashion. Given ththe assets have lower convexity anspersion ththe liabilities, they will unrperform; this, the liabilities woulchange a greater amount ththe assets. A is incorrebecause Silver expects a besteepener; this, long rates will rise faster thshort rates. In a besteepener, long rates rise faster thshort rates in a non-parallel fashion. Given ththe assets have lower convexity anspersion ththe liabilities, they will unrperform.B is incorrebecause the fferences in convexity anspersion are unfavorable; this, they are lower for the assets thfor the liabilities. If the opposite were the case, then the liabilities woulimmunize麻烦问下老师,PV01(asset)不等于PV01(lia),BPV=PV01的概念吗?按理来说,Money ration*0.01%不就是BPV吗?好奇怪,谢谢老师

2024-07-11 07:24 1 · 回答

NO.PZ202209060200004703 问题如下 Baseon the ta in Exhibit 2, will the client scussemost likely able to immunize its plgiven the interest rate scenario scribeSilver? A.Yes B.No, because of the fferences in money ration C.No, because of the fferences in convexity anspersion SolutionC is correct. The money ration of the assets anliabilities are equal: 517,342,000 × 12.66 = 6,548,381,000, an500,000,000 × 13.10 = 6,548,381,000. For parallel changes, the equmoney rations anPV01 imply thassets anliabilities woulmove in tanm. Silver expects a besteepener; this, long rates will rise faster thshort rates. In a besteepener, long rates rise faster thshort rates in a non-parallel fashion. Given ththe assets have lower convexity anspersion ththe liabilities, they will unrperform; this, the liabilities woulchange a greater amount ththe assets. A is incorrebecause Silver expects a besteepener; this, long rates will rise faster thshort rates. In a besteepener, long rates rise faster thshort rates in a non-parallel fashion. Given ththe assets have lower convexity anspersion ththe liabilities, they will unrperform.B is incorrebecause the fferences in convexity anspersion are unfavorable; this, they are lower for the assets thfor the liabilities. If the opposite were the case, then the liabilities woulimmunize 我以为PV01本质上和BPV是一样的,Asset的PV01比liability小,所以利率上升的时候,Asset价值下降的比Liability少,所以就免疫住了。为什么不能这么考虑?

2024-06-03 21:58 1 · 回答

NO.PZ202209060200004703 问题如下 Baseon the ta in Exhibit 2, will the client scussemost likely able to immunize its plgiven the interest rate scenario scribeSilver? A.Yes B.No, because of the fferences in money ration C.No, because of the fferences in convexity anspersion SolutionC is correct. The money ration of the assets anliabilities are equal: 517,342,000 × 12.66 = 6,548,381,000, an500,000,000 × 13.10 = 6,548,381,000. For parallel changes, the equmoney rations anPV01 imply thassets anliabilities woulmove in tanm. Silver expects a besteepener; this, long rates will rise faster thshort rates. In a besteepener, long rates rise faster thshort rates in a non-parallel fashion. Given ththe assets have lower convexity anspersion ththe liabilities, they will unrperform; this, the liabilities woulchange a greater amount ththe assets. A is incorrebecause Silver expects a besteepener; this, long rates will rise faster thshort rates. In a besteepener, long rates rise faster thshort rates in a non-parallel fashion. Given ththe assets have lower convexity anspersion ththe liabilities, they will unrperform.B is incorrebecause the fferences in convexity anspersion are unfavorable; this, they are lower for the assets thfor the liabilities. If the opposite were the case, then the liabilities woulimmunize 老师好,这道题我理解了,但是针对convexity的性质我突然有一点问题。我记得上课的时候何老师讲过,针对multiple liability的immunization,我们要在asset的convexity大于liability的convexity的组合当中找convexity最小的那个,但是convexity不是越大越好么?因为convexity有涨多跌少的优点——那么这里为什么是要在大的convexity里面找投资组合最小的portfolio呢?对应的知识点是基础班的这一页

2024-05-27 16:19 1 · 回答

NO.PZ202209060200004703 问题如下 Baseon the ta in Exhibit 2, will the client scussemost likely able to immunize its plgiven the interest rate scenario scribeSilver? A.Yes B.No, because of the fferences in money ration C.No, because of the fferences in convexity anspersion SolutionC is correct. The money ration of the assets anliabilities are equal: 517,342,000 × 12.66 = 6,548,381,000, an500,000,000 × 13.10 = 6,548,381,000. For parallel changes, the equmoney rations anPV01 imply thassets anliabilities woulmove in tanm. Silver expects a besteepener; this, long rates will rise faster thshort rates. In a besteepener, long rates rise faster thshort rates in a non-parallel fashion. Given ththe assets have lower convexity anspersion ththe liabilities, they will unrperform; this, the liabilities woulchange a greater amount ththe assets. A is incorrebecause Silver expects a besteepener; this, long rates will rise faster thshort rates. In a besteepener, long rates rise faster thshort rates in a non-parallel fashion. Given ththe assets have lower convexity anspersion ththe liabilities, they will unrperform.B is incorrebecause the fferences in convexity anspersion are unfavorable; this, they are lower for the assets thfor the liabilities. If the opposite were the case, then the liabilities woulimmunize 如题

2023-11-28 01:04 1 · 回答