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Aaabby · 2020年01月04日

问一道题：NO.PZ201812020100000303

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

问题如下：

Which portfolio in Exhibit 2 fails to meet the requirements to achieve immunization for multiple liabilities?

选项：

A.

Portfolio A

B.

Portfolio B

C.

Portfolio C

解释：

A is correct.

The two requirements to achieve immunization for multiple liabilities are for the money duration (or BPV) of the asset and liability to match and for the asset convexity to exceed the convexity of the liability. Although all three portfolios have similar BPVs, Portfolio A is the only portfolio to have a lower convexity than that of the liability portfolio (31.98, versus 33.05 for the $20 million liability portfolio), and thus, it fails to meet one of the two requirements needed for immunization.

请问 Portfolio A、Portfolio B、Portfolio C的BPV分别是多少呢？

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1 个答案

发亮_品职助教 · 2020年01月05日

嗨，努力学习的PZer你好：


在表格的最后一列，录入的时候写成BOP了。

考试的话做多期负债匹配，资产的BPV都会告诉我们的。


-------------------------------
努力的时光都是限量版，加油！


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