标题: Fixed Income Question on Cashflow Matching [打印本页] 作者: Carson 时间: 2011-7-13 17:09 标题: Fixed Income Question on Cashflow Matching
A cash flow matched portfolio:
A: Usually more difficult to construct than an immunized portfolio, but it is easier to maintain after it has been constructed
B: Usually more expensive to maintain than an immunized portfolio after it has been constructed
C: Can be easily changed after it has been constructed作者: bboo 时间: 2011-7-13 17:09
A
NO EXCUSES作者: zwjy 时间: 2011-7-13 17:09
a b!tches.作者: Analti_Calte 时间: 2011-7-13 17:09
Answer is "A". More difficult to maintain immunization compared to cf matching.
Edited 1 time(s). Last edit at Thursday, April 7, 2011 at 12:23PM by onelasttime.作者: bpdulog 时间: 2011-7-13 17:09
B except for the addition of after constructed and they are focused on ...........once constructed a cashflow matching method is cheaper to maintain that immunization........ so I say A ..........作者: mar350 时间: 2011-7-13 17:09
A: Usually more difficult to construct than an immunized portfolio, but it is easier to maintain after it has been constructed作者: skycfa 时间: 2011-7-13 17:09
Since immunization is related to duration and duration changes, I don't think this is easy to maintain. Once you have matched actual cash flows, you shouldn't have to do anythng else.作者: Roflnadal 时间: 2011-7-13 17:10
Once a portfolio has been immunized, no more action is needed from the portfolio manager. The only relevant cash flow at that point is the one at horizon date.
CF matching, on the other hand, is more costly and harder to maintain. Coupons have to be constantly reinvested and used (along with principal of other maturing bonds) to pay down liabilities as they come due. It's easier to understand but it's not easier to maintain.作者: zwjy 时间: 2011-7-13 17:10
To quote Scheweser notes, "Since it is unlikely that the cash flows from a bond portfolio will exactly match the liabilities, reinvestment risk is inherent in cash flow matching. As such, a minimum-risk immunization approach to funding multiple liabilities is at least equal to cash flow matching, and probably better, since it would be less expensive to fund a given stream of liabilities"
I'm more certain that the answer is B.作者: justin88 时间: 2011-7-13 17:10
That was my answer originally. B作者: mar350 时间: 2011-7-13 17:10
You have to keep rebalancing an immunized portfolio.作者: bboo 时间: 2011-7-13 17:10
I say B. How likely is it that you will cash flow match with nothing but zero-coupons?? Only in this case would the upkeep be less time consuming and expensive.
IMHO the root of this question lay in the "easier to maintain" statement. They are going for the sucker that thinks "match the cash flows and then your done! easy!."
Remember that a match at first is not matching later due to convexity and duration. I say B B B.作者: infinitybenzo 时间: 2011-7-13 17:10
A- if the cash flow from bond already match the liability, there's no need to rebalance once constructed. hence easier to maintain after construction. the hard part is finding the right bond to match the cashflow of liability.作者: ohai 时间: 2011-7-13 17:10
from reading Stalla, my understanding is that Cash flow matching is more expensive upfront, but easier to maintain.
Immunization costs less upfront, and is more difficult to maintain due to having to rebalance all the time.
