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Anne · 2025年05月28日

DB为何不能用cashflow matching 和 contigent immunization?

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202209060200004101

问题如下：

Is Maestre’s description of pension fund management as a form of LDI most likely correct?

选项：

A.Yes. B.No, she is incorrect regarding the focus of interest rate risk management. C.No, she is incorrect regarding the difficulty of managing pension funds.

解释：

Solution

B is correct. Liability-driven investing (LDI) is a form of asset/liability management (ALM). All ALM strategies require the manager to incorporate the interest rate sensitivity of both the assets and the liabilities in the portfolio management process. The amount and timing of pension fund liabilities may be sensitive to changes in interest rates if retirement decisions are based on other savings or salaries change with market interest rates. Further, the value of the liability portfolio would change with changes in interest rates because of a discount rate effect, even if the amount or timing of the payments do not change.

A is incorrect because LDI must take into account the net interest rate sensitivity of both the asset and liability portfolios.

C is incorrect because defined-benefit pension fund liabilities are Type IV liabilities (timing and amount of cash flows is uncertain), and these are the most difficult liabilities to manage.

DB是multiplt liability, 为何不能用cashflow matching 和 contigent immunization? 而是使用derivative来做duration matching。

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1 个答案

发亮_品职助教 · 2025年05月28日

DB养老金基本不能用cash flow matching。

Cash flow matching的原理是，找到负债的每一笔cash outflow金额以及发生日。然后每一个负债cash outflow，都对应找一个债券来匹配。会让资产的cash inflow金额与负债的cash outflow金额完全一致，而且发生日期完全一致。其实就是找到负债的镜像资产，做到完全的一致，一一对应。


这里面涉及到每个债券资产买多少名义本金的计算，而且每个债券还有coupon，coupon会增加资产的cash inflow，这会导致买入的债券名义本金要做对应调整，总之，是coupon+债券本金的cash inflow恰好cover负债每笔cash outflow。

要做到cash inflow的金额与发生日，与负债的cash outflow金额与发生日完全一致，其实很难，还要看市场上有没有cash flow发生日一致的债券。还要做的精心的计算配比，有时候可能都配不出来与负债cash outflow金额一致的资产。


越是复杂的cash outflow负债，就越难用cash flow matching构建。cash flow matching是精细化的管理每一个负债cash outflow，太复杂基本很难实现。所以cash flow matching只适合用于较为简单的负债。

而DB养老金属于最复杂的负债cash outflow，因为涉及的时间长，cash flow的密度大，很多养老金是每个月发生一次cash outflow。而且每期的cash outflow还没有规律，因为可能每期针对的退休员工人数都不一样。

所以针对这么复杂的负债，基本不太可能用cash flow matching。


但DB养老金管理可以用contingent immunization。contingent immunization是在资产value>负债value，存在surplus时，可以适当使用主动的投资策略赚取高收益来进一步扩大资产的value。

在管理DB养老金时，如果资产value>负债value，且养老金的mandate允许，那么可以使用contingent immunization。


derivatives overlay是利用衍生品做duration-matching，和contingent immunization不是一个维度的概念，两者不是互斥的概念。在contingent immunization里面，我们可以用衍生品来做，所以会涉及到derivatives overlay。

做duration-matching完全可以用衍生品，所以所有的负债管理都可以用derivatives overlay（在mandate许可的背景下）

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