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兔宝猪妈 · 2022年03月24日

为什么不选modified duration

NO.PZ2019103001000031

问题如下:

Doug Kepler, the newly hired chief financial officer for the City of Radford, asks the deputy financial manager, Hui Ng, to prepare an analysis of the current investment portfolio and the city’s current and future obligations. The city has multiple liabilities of different amounts and maturities relating to the pension fund, infrastructure repairs, and various other obligations.

Ng observes that the current fixed-income portfolio is structured to match the duration of each liability. Previously, this structure caused the city to access a line of credit for temporary mismatches resulting from changes in the term structure of interest rates

Kepler asks Ng for different strategies to manage the interest rate risk of the city’s fixed-income investment portfolio against one-time shifts in the yield curve. Ng considers two different strategies:

Strategy 1: Immunization of the single liabilities using zero-coupon bonds held to maturity

Strategy 2: Immunization of the single liabilities using coupon-bearing bonds while continuously matching duration.

Which duration measure should be matched when implementing Strategy 2?

选项:

A.

Key rate

B.

Modified

C.

Macaulay

解释:

C is correct.

An investor having an investment horizon equal to the bond’s Macaulay duration is effectively protected, or immunized, from the first change in interest rates, because price and coupon reinvestment effects offset for either higher or lower rates.

是因为single liab吗?那如果Multiple liab呢?

1 个答案
已采纳答案

pzqa015 · 2022年03月24日

嗨,从没放弃的小努力你好:


single liability用Mac duration match。multiple liability用modified duration match。

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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!