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?