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徐威廉 · 2021年07月25日

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NO.PZ201812020100000405

问题如下:

Which of Compton’s statements about liability-driven investing is (are) correct?

选项:

A.

Statement 1 only

B.

Statement 2 only.

C.

Both Statement 1 and Statement 2.

解释:

C is correct.

Compton is correct that measurement error can arise even in immunization strategies for Type 1 cash flows, which have set amounts and set dates. Also, a parallel shift in yield curves is a sufficient but not a necessary condition to achieve the desired outcome. Non-parallel shifts as well as twists in the yield curve can change the cash flow yield on the immunizing portfolio; however, minimizing the dispersion of cash flows in the asset portfolio mitigates this risk. As a result, both statements are correct.

cash flow matching为什么可以消除利率曲线非平移动的风险呢?

1 个答案
已采纳答案

pzqa015 · 2021年07月26日

嗨,努力学习的PZer你好:


首先,明确什么是收益率曲线非平行移动的风险。收益率曲线非平行移动的风险是指收益率曲线发生非平行移动,用duration match策略△asset≠△liab,进而使得asset cash flow不能cover liab,此时免疫是失败的。产生这个风险的根本原因是duration matching策略在cover liab时的现金流会来自于提前卖出债券(比如,持有5年期债券,在第3年末卖出cover第3年末的Liability),卖出债券就面临着price risk,price risk导致可能存在的△asset≠△liab。


cash flow matching是用asset 每期的cash flow(来自于coupon或到期的本金,而不是提前卖出债券)来cover liab每期的cash flow,既然不需要卖出债券,也就不承担price risk,因此,只要期初计算好cover每期 liab对应的asset的cash flow,无论收益率曲线如何变动,都不影响资产发生的现金流,也就不存在收益率曲线非平行移动使得asset cash flow不能cover liab的风险了。

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