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abel · 2025年06月08日

如题

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000014

问题如下：

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


Based on 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.

这个A都无法用来immunize，至少BC都是可以用，那是不是侧面说明你用A的话是更有risk呢？

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1 个答案

发亮_品职助教 · 2025年06月09日

还不是。Structural risk专指duration-matching里面，出现非平行利率改变时，资产与负债不match的情况。


前提是先达成duration-matching，即Mac.duration相等（单期负债匹配），BPV相等以及资产convexity更大（多期负债匹配）。满足以上条件才能达到duration-matching。

然后在此基础上，再看非平行移动的影响。非平行移动主要看资产的convexity是不是离负债的convexity太远，资产的convexity大太多的话，说明资产的cash flow排布与负债的cash flow分布差异太大，这就无法保证非平行移动时对value影响相近，会产生太大的差异。即不匹配的风险（structural risk）


A的问题是asset convexity小于负债convexity。不满足匹配的基础条件。都不满足duration-matching，所以没必要进一步讨论structural risk。

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