开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

ROAD · 2020年01月12日

问一道题:NO.PZ2019103001000015

问题如下:

The second project for Soto is to help Hudgens 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. Soto suggested employing a duration-matching strategy using one of the three AAA rated bond portfolios presented in Exhibit 2.

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.

老师,请问为什么是要满足

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.

2 个答案

Sophiener · 2020年01月23日

答案是不是错了,应该选B吧

发亮_品职助教 · 2020年02月06日

不是的,题目是让选:fails to meet the requirements的一项,选项B是满足匹配的所以不选他。三个Portfolio里,只有Portfolio A是不满足匹配的,所以答案没错的。

发亮_品职助教 · 2020年01月12日

嗨,爱思考的PZer你好:


这就是多期负债匹配,需要满足的3个条件:

1、PV Asset ≥ PV Liabilities

2、Asset BPV = Liability BPV

3、Asset convexity > Liability Convexity,并且在此基础上,Asset的Convexity越小越好。

满足以上3个条件,就可以实现多期负债的Immunization(Duration-matching)。


因为这道题,以及绝大多数情况,题目没有资产PV与负债PV的数据,所以我们默认三个Portfolio都满足PV的要求。

所以如果要满足匹配的条件,剩下就需要满足两个条件:资产BPV=负债BPV,资产Convexity大于负债Convexity。



资产负债的BPV相等,代表利率变动时,资产、负债的变动金额一致,这样就实现了利率变动时,资产负债的变动同步,资产Cover负债;

资产的Convexiy大于负债的Convexity,是因为我们要确保资产的现金流更加分散、能够包裹住负债的现金流,这样负债到期时,资产的现金流会提前出现,这样能保证足额偿还负债。

因为现金流的分散程度与Convexity数据成正比,现金流越分散代表Convexity数据越大,所以要保证资产的现金流比负债的现金流更分散,就是要求资产的Convexity比负债的Convexity更大。

所以在多期负债的要求里:就是资产的Convexity大于负债的Convexity

但同时资产的Convexity不能太大,否则会引入其他风险:资产不匹配负债的风险(Structural risk),所以我们的要求就是Asset convexity > Liability Convexity,并且在此基础上,Asset的Convexity越小越好。不过这道题没有涉及到这点,其他题目可以注意下这种情况。


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