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2022-08-01 20:13原版書，第412頁， Proposal B has this higher allocation, and the extension of duration in the bond portfol
原版書，第412頁， Proposal B has this higher allocation, and the extension of duration in the bond portfolio in Proposal B reduces balance sheet and surplus risk relative to the pension liabilities. 如何理解reduces balance sheet and surplus risk
所屬：CFA Level III > Asset Allocation and Related Decisions in Portfolio Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個(gè)回答
Johnny助教
2022-08-02 16:01
該回答已被題主采納
同學(xué)你好，surplus risk就是surplus的波動(dòng)率，而surplus就是asset的市值減去liability的現(xiàn)值。文中已經(jīng)說了增加債券的duration是為了對(duì)沖負(fù)債的久期風(fēng)險(xiǎn)，因?yàn)樨?fù)債25年期，目前投資是中期債券，那么增加久期就能然資產(chǎn)更好的匹配負(fù)債的久期。資產(chǎn)和負(fù)債久期相似的話，那么利率變動(dòng)對(duì)于資產(chǎn)和久期的影響程度也就相似，surplus的波動(dòng)率也會(huì)下降。
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