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玛卡巴卡 · 2021年09月10日

如下

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ201812020100000304

问题如下：

Based on Exhibit 2, relative to Portfolio C, Portfolio B:

选项：

A.

has higher cash flow reinvestment risk.

B.

is a more desirable portfolio for liquidity management.

C.

provides less protection from yield curve shifts and twists.

解释：

B is correct.

Portfolio B is a laddered portfolio with maturities spread more or less evenly over the yield curve. A desirable aspect of a laddered portfolio is liquidity management. Because there is always a bond close to redemption, the soon-to-mature bond can provide emergency liquidity needs. Barbell portfolios, such as Portfolio C, have maturities only at the short-term and long-term ends and thus are much less desirable for liquidity management

请问下为什么convexity大，structual risk就大呢？

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1 个答案

pzqa015 · 2021年09月11日

嗨，从没放弃的小努力你好：


structural risk是指收益率曲线非平行移动，免疫策略不成功的风险（△asset≠△liability）。

单笔现金流免疫，负债是0息债，受收益率曲线非平行移动的影响很小（除非负债到期时间点利率变化，否则，其他时间点利率变化不影响负债value）。我们要想使免疫策略成功，就要尽可能减少资产对收益率曲线变化的反应程度。

在duration相同的情况下，convexity可以用来衡量现金流离散程度dispersion。（convexity=(Mac D+Mac D2+Dispersion)/(1+y)2）

面对收益率曲线的非平行移动，现金流越分散，那么受收益率变化影响的点就越多，在KRD或者说PVD的影响下，asset value的变化就越不可控。

而现金流越集中（比如0息债，只有一期现金流），受收益率变化影响的点越少，asset value的变化越可控甚至有可能不发生变化（比如2年期、5年期、7年期收益率发生变化，但10年期零息债不会受这三点利率变化的影响）。

所以，convexity越小，structural risk越小，反之，convexity越大，structural risk越大。

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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！

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