请问Structural risk是指什么风险？用什么指标可以避免？谢谢

NO.PZ2019103001000027

问题如下：

Which of the portfolios in Exhibit 1 best minimizes the structural risk to a single-liability immunization strategy?

选项：

Portfolio 1

Portfolio 3

Portfolio 4

解释：

C is correct.

Structural risk to immunization arises from twists and non-parallel shifts in the yield curve. Structural risk is reduced by minimizing the dispersion of cash flows in the portfolio, which can be accomplished by minimizing the convexity for a given cash flow duration level. Because Portfolio 4 has the lowest convexity compared with the other two portfolios and also has a Macaulay duration close to the liability maturity of nine years, it minimizes structural risk.

请问Structural risk是指什么风险？用什么指标可以避免？谢谢

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已采纳答案

pzqa015 · 2021年10月29日

嗨，爱思考的PZer你好：

structural risk是指收益率曲线非平行导致△asset value≠△liab value，此时免疫失效，解决办法，对于单笔现金流免疫，最小化portfolio convexity能够降低structural risk。

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NO.PZ2019103001000027 在多笔liabilities下的情况下，由于Libility多笔所以到期所需的现金流是分散开的，所以投资债券产生现金流到账也是分散的，得到条件convexityA＞convexityL 如果给个表格要求选择最佳的portfolio时，假如A和B都是资产＞负债，且BPVA=BPVL，而且Convexity（资产）＞Convexity（Liablity）。在这样的情况下是不是要选Convexity相对较小的那个？

2021-07-20 14:50 1 · 回答

NO.PZ2019103001000027 Portfolio 3 Portfolio 4 C is correct. Structurrisk to immunization arises from twists annon-parallel shifts in the yielcurve. Structurrisk is receminimizing the spersion of cash flows in the portfolio, whicaccomplisheminimizing the convexity for a given cash flow ration level. Because Portfolio 4 hthe lowest convexity comparewith the other two portfolios analso ha Macaulration close to the liability maturity of nine years, it minimizes structurrisk. Greater Convexity haantage when the interest changes. Then it woulbetter to have a greater convenxity. Then why we neeto minimize it instead

2021-03-26 16:58 1 · 回答

请问Structural risk是指什么风险？用什么指标可以避免？谢谢

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