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H_Y239 · 2021年10月10日

c选项如果从凸性的涨多跌少来理解也是对的呢

  1. CFA III
  2. Fixed Income

NO.PZ2019103001000016

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.

为什么不能从凸性的涨多跌少来判断protection程度呢？ 从ladder和barbell的现金流角度可以理解再投资risk和twist变化的受保护程度应该是ladder更好，但barbell的凸性反而是更大，这个怎么理解呢？这块一直有点疑问，之前全靠记忆，为什么barbell的凸性比ladder的高？
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1 个答案

pzqa015 · 2021年10月11日

嗨，努力学习的PZer你好：


convexity只能保护收益率曲线的大幅平行移动，不能保护收益率曲线的非平行移动。所以C选项yield shift and twist不能从凸性的角度来考虑。

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努力的时光都是限量版，加油！

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NO.PZ2019103001000016 讲义里说versification会带来Cash flow RI risk.

2022-03-10 10:31 1 · 回答

NO.PZ2019103001000016 is a more sirable portfolio for liquity management. provis less protection from yielcurve shifts antwists B is correct. Portfolio B is a laereportfolio with maturities spremore or less evenly over the yielcurve. A sirable aspeof a laereportfolio is liquity management. Because there is always a bonclose to remption, the soon-to-mature boncprovi emergenliquity nee. Barbell portfolios, suPortfolio have maturities only the short-term anlong-term en anthus are muless sirable for liquity management. Barbell的convexité比較大，不是可以帶來漲多跌少的好處嗎？c是不是也對呢？

2022-02-28 07:42 1 · 回答

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2021-09-24 07:42 2 · 回答