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SKY天天 · 2025年06月25日

以哪个为准？是bond term还是以convexity为准？

  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.

看bond term,portfolio2是3笔现金流，portfolio3是2笔现金流，但是看convexity，portfolio3又大于portfolio2，所以以哪个为准？

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1 个答案

发亮_品职助教 · 2025年06月26日

嗨，努力学习的PZer你好：


只以convexity为准。convexity是现金流分散程度的直接指标，只用他来判断。

convexity越大，则structural risk越大。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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