Melodyxie · 2020年01月05日
* 问题详情，请 查看题干
问题如下：
Which duration measure should be matched when implementing Strategy 2?
选项：
A.Key rate
B.Modified
C.Macaulay
解释：
C is correct.
An investor having an investment horizon equal to the bond’s Macaulay duration is effectively protected, or immunized, from the first change in interest rates, because price and coupon reinvestment effects offset for either higher or lower rates.
这题为什么不是key rate duration呢
发亮_品职助教 · 2020年01月06日
嗨，从没放弃的小努力你好：
Strategy 2: Immunization of the single liabilities using coupon-bearing bonds while continuously matching duration.
注意这道题是对单期负债做Immunization策略，Immunization策略包括：Cash flow matching，与Duration-matching；
他题干说了是Matching duration，所以我们知道是单期负债的Duration-matching策略。
按照单期负债Duration-matching的要求，我们匹配的是：Macaulay duration；要求是：
Asset's Macaulay duration = investment horizon = liability's due date (Macaulay duration)
最后总结下：
在我们三级学的Duration-matching策略，无论是单期负债匹配，还是多期负债匹配，都没有用到Key rate duration的情形。
单期负债是使用Maculay duration；多期负债是使用Money duration（BPV/PVBP）
-------------------------------虽然现在很辛苦，但努力过的感觉真的很好，加油！
NO.PZ201812020100000502问题如下 Which ration measure shoulmatchewhen implementing Strategy 2? Key rateMofie. Macaulay C is correct. An investor having investment horizon equto the bons Macaulration is effectively protecte or immunize from the first change in interest rates, because priancoupon reinvestment effects offset for either higher or lower rates. 想问下 immunization 其实是要资产和负债对利率的敏感程度一致，不是mofieration 更合适？
NO.PZ201812020100000502 问题如下 Which ration measure shoulmatchewhen implementing Strategy 2? Key rate Mofie Macaulay C is correct. An investor having investment horizon equto the bons Macaulration is effectively protecte or immunize from the first change in interest rates, because priancoupon reinvestment effects offset for either higher or lower rates. 1、老师能帮忙区分下这三个ration嘛2、看了一些答案的解析有点混淆了，single lia和multiple的immunization的条件，我怎么记得最后都是直接asstBVP大于等于lia的BVP，然后asset的convexity大于lia的、但要尽量小？
NO.PZ201812020100000502 问题如下 Which ration measure shoulmatchewhen implementing Strategy 2? Key rate Mofie Macaulay C is correct. An investor having investment horizon equto the bons Macaulration is effectively protecte or immunize from the first change in interest rates, because priancoupon reinvestment effects offset for either higher or lower rates. 请问continuously matching ration该怎么理解？我可能是被这个单词误导了，我一直以为是“连续不断地”或者“持续地” matration，那这样就包含了利率非平行移动的情况，所以就选了A。
NO.PZ201812020100000502问题如下 Which ration measure shoulmatchewhen implementing Strategy 2? Key rate Mofie Macaulay C is correct. An investor having investment horizon equto the bons Macaulration is effectively protecte or immunize from the first change in interest rates, because priancoupon reinvestment effects offset for either higher or lower rates. 前面才说的“Kepler asks Ng for fferent strategies to manage the interest rate risk of the city’s fixeincome investment portfolio against one-time shifts in the yielcurve.”，不是说明曲线没有平行移动吗？
NO.PZ201812020100000502
