Shell_eyyy · 2021年04月13日
* 问题详情，请 查看题干
NO.PZ201812020100000502
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.
如题。不懂modified和Macauley的区别。是因为前者只是近似，不够精确吗？
发亮_品职助教 · 2021年04月14日
嗨，努力学习的PZer你好：
不懂modified和Macauley的区别。是因为前者只是近似，不够精确吗？
注意看Strategy 2，他是对单期负债做Duration-matching策略。（Immunization of the single liabilities....continuously matching duration）
然后题目问我们选哪个Duration可以实现单期负债的Duration-matching。
单期负债做Duration-matching时，只会使用Macaulay duration哈。其他的Duration都不会用到。
这是单期负债匹配里最重要的一个条件，讲义第80页就是做单期负债匹配的3个条件，其中第二条就是：资产的Macaulay duration = investment horizon = 负债的Macaulay duration：
下面说一下Macaulay duration与Modified duration的区别：
Macaulay duration是一个时间的概念，他衡量的是债券现金流发生的加权平均时间。例如，某支债券的Macaulay duration = 9；
那这就意味着，投资这支债券，拿到债券的所有现金流，平均来看，需要的时间是9年；由于衡量的是时间概念，Macaulay duration的单位是年。
而Modified duration是一个弹性的概念，他衡量的是，利率变动1单位时，债券的价格变动多少幅度。所以Modified duration就是个系数，没有单位。
在匹配单期负债时，只能用Macaulay duration；在计算利率改变对债券价格的影响时，用Modified duration。
他俩之间有个关系是：
Modified duration = macaulay duration / (1+r)，其中r为债券一期的收益率。
----------------------------------------------就算太阳没有迎着我们而来，我们正在朝着它而去，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
