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邮票LL · 2021年05月01日

Single liability duration match

For single liability using duration match. It is important to match duration of asset and liabilty and also minimize convexity. In some questions, we choose the one with the least convextity although the duration of the liability is a little bit bigger than that of the asset) to minimize structural risk while in some questions it states the duration is not closely matched so should not be the right one even though the convexity is the smallest one. I can see the duration match has higher priority then convexity. But how to define closely match (e.g. duration of liability- duration of asset <0.01)
1 个答案

pzqa015 · 2021年05月02日

嗨,爱思考的PZer你好:


理论上,应该让BPVA=BPVL,这样,如果收益率曲线平行移动,且仅发生一次变化时,△ASSET=△LIABILITY,但是实务中,可能没有完全相等的资产,那么我们就需要确保二者之间差距越小越好,并没有一个固定的数值来衡量二者之间的差异,考试一般不会在这个地方设陷阱,通过判断BPV相等与min convexity,是可以找到最优选项的。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

邮票LL · 2021年05月02日

谢谢,我又多看了一些题,发现只要是Duration差距在1%以内都算match的

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