开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

littlebabyfats · 2021年11月20日

Match的是什么Duration

* 问题详情,请 查看题干

NO.PZ201812020100000406

问题如下:

Based on Exhibit 1, which of the portfolios will best immunize SD&R’s single liability?

选项:

A.

Portfolio 1

B.

Portfolio 2

C.

Portfolio 3

解释:

B is correct.

In the case of a single liability, immunization is achieved by matching the bond portfolio’s Macaulay duration with the horizon date. DFC has a single liability of $500 million due in nine years. Portfolio 2 has a Macaulay duration of 8.9, which is closer to 9 than that of either Portfolio 1 or 3. Therefore, Portfolio 2 will best immunize the portfolio against the liability.


之前老师回答过别人的问题,我在这里还有一个多小疑问,如果是Match Multiple Liability,也是Match Macaulay Duration吗?关于Match Duration 究竟要Match Macaulay Duration还是Match effective duration我有点记不清了,麻烦老师帮忙解答,谢谢!

littlebabyfats · 2021年11月20日

提问有变,请以这个为准:之前老师回答过别人的问题,我在这里还有一个多小疑问,如果是Match Multiple Liability,也是Match Macaulay Duration吗?关于Match Duration 究竟要Match Macaulay Duration还是Match effective duration还是Match modified duration,我有点记不清了,麻烦老师帮忙解答,谢谢!

梁 · 2022年02月26日

为什么不选4 首先single的话 duration asset 至少能cover liabili的话9.1 跟适合啊 其次 选最小的converxity的话 4也更加适合求老师指点

2 个答案

pzqa015 · 2022年02月27日

嗨,爱思考的PZer你好:


4的确是最合适的,但是答案让从1、2、3中选。

----------------------------------------------
就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

pzqa015 · 2021年11月20日

嗨,努力学习的PZer你好:


如果是Match Multiple Liability,也是Match Macaulay Duration吗?

-------------

只有单笔现金流负债match的是mac D


多笔现金流负债,match的是BPV,它是根据mod或者ed来计算的,具体就是BPV=-MV*MD(ED)*1BP。

当然,mod D与mac D本身也是有关系的,mod D=mac D/(1+y),但我们三级一般不会考二者的关系,这是一级的内容。

只需记住单笔负债match mac D,多笔负债match由mod D计算的BPV即可。

----------------------------------------------
就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

  • 2

    回答
  • 1

    关注
  • 441

    浏览
相关问题

NO.PZ201812020100000406 问题如下 Baseon Exhibit 1, whiof the portfolios will best immunizeSR’s single liability? Portfolio 1 Portfolio 2 Portfolio 3 Bis correct. In the case of a single liability, immunization is achievebymatching the bonportfolio’s Macaulration with the horizon te. C hasa single liability of $500 million e in nine years. Portfolio 2 haMacaulration of 8.9, whiis closer to 9 ththof either Portfolio 1or 3. Therefore, Portfolio 2 will best immunize the portfolio against theliability. 老师,这题我想明确下,single liability immunizatio需要满足3个条件①MV(asset)≥MV(liability)②Macaulration(asset)=liability ration③min. asset convexity其中,第②点Macaulration(asset)=liability ration的意思是说 asset macaulration和liability ration接近?还是说 asset的macaulration一定要大于liability ration?

2024-05-16 16:50 2 · 回答

NO.PZ201812020100000406 问题如下 Baseon Exhibit 1, whiof the portfolios will best immunizeSR’s single liability? Portfolio 1 Portfolio 2 Portfolio 3 Bis correct. In the case of a single liability, immunization is achievebymatching the bonportfolio’s Macaulration with the horizon te. C hasa single liability of $500 million e in nine years. Portfolio 2 haMacaulration of 8.9, whiis closer to 9 ththof either Portfolio 1or 3. Therefore, Portfolio 2 will best immunize the portfolio against theliability. average time to maturity 就是组合里资产的Mac.r加权平均得到的对吗?然后 Mac.r 就是将组合里的各项资产视为整体用cash flow yiel个方法得到的每笔现金流现值求得的权重吗?假设组合3的Macr和组合2一样,那是不是选3,因为convexity相对小?

2024-05-02 16:05 1 · 回答

NO.PZ201812020100000406 问题如下 Baseon Exhibit 1, whiof the portfolios will best immunizeSR’s single liability? Portfolio 1 Portfolio 2 Portfolio 3 Bis correct. In the case of a single liability, immunization is achievebymatching the bonportfolio’s Macaulration with the horizon te. C hasa single liability of $500 million e in nine years. Portfolio 2 haMacaulration of 8.9, whiis closer to 9 ththof either Portfolio 1or 3. Therefore, Portfolio 2 will best immunize the portfolio against theliability. 这道题说C负债的PV是500million,并没有已知portfolio 1-4的PV信息,所以,免疫的第一个条件用不上。第二个条件是minvestment horizion,C的investment horizon为9年,所以,要选择portfolio m9年最近的,B是最接近9的。对于第一个条件,PV of asset≥PV of liability。为了节省成本,可以让PV of asset=PV of liability,但为了保证成功,最好让PV of asset>PV of liability。这个部分我理解了 1.single liability 不是需要min convexity 吗?那样应该选C啊?2.是需要先满足asset大于ration of liability的条件吗?才考虑convexity

2023-01-31 16:20 1 · 回答

NO.PZ201812020100000406 问题如下 Baseon Exhibit 1, whiof the portfolios will best immunizeSR’s single liability? Portfolio 1 Portfolio 2 Portfolio 3 Bis correct. In the case of a single liability, immunization is achievebymatching the bonportfolio’s Macaulration with the horizon te. C hasa single liability of $500 million e in nine years. Portfolio 2 haMacaulration of 8.9, whiis closer to 9 ththof either Portfolio 1or 3. Therefore, Portfolio 2 will best immunize the portfolio against theliability. 题目里问的不是SR的负债吗?怎么解析里又变成C的了?C ha single $500 million liability e in nine years

2023-01-09 10:32 1 · 回答

NO.PZ201812020100000406 问题如下 Baseon Exhibit 1, whiof the portfolios will best immunizeSR’s single liability? Portfolio 1 Portfolio 2 Portfolio 3 Bis correct. In the case of a single liability, immunization is achievebymatching the bonportfolio’s Macaulration with the horizon te. C hasa single liability of $500 million e in nine years. Portfolio 2 haMacaulration of 8.9, whiis closer to 9 ththof either Portfolio 1or 3. Therefore, Portfolio 2 will best immunize the portfolio against theliability. RT

2022-08-13 10:36 1 · 回答