Wolf
2023-12-30 07:52老師您好，我想問一下固收百題第5個(gè)case第三題。不是很理解這道題在問什么和解題的思路。看了答案一頭霧水
所屬：CFA Level III > Fixed-Income 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
Simon助教
2023-12-30 13:25
該回答已被題主采納
同學(xué)，上午好。這道題在改編的時(shí)候，漏了一個(gè)條件，整個(gè)題干應(yīng)該是If Rioja rebalances the portfolio as he proposes in his statement to Priorat, the dollar duration of the assets relative to the dollar duration of the liabilities【補(bǔ)充的條件(the pension liability has a duration of 14 years and a present value of $4 billion) 】is most likely to：
然后回到原文，treasury bonds Strips會(huì)新增加 500m（make a $500 million contribution to fully fund the plan and invest the funds in Treasury STRIPs）
題干中說，reallocate pension investments away from the fund that presents the greatest contingent claim risk and into the long corporate bond fund，其中有 greatest contingent claim risk的是MBS，所以將MBS中的700,000要調(diào)整到long corporate bond fund中。
然后，根據(jù)這兩個(gè)信息，重新計(jì)算exhibit 1 中的dollar duration，然后和liability的dollar duration計(jì)算。看是否匹配。
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