future2012

回复  FiFi49

GIPS 2010 Key Issues Summary
   6.     
Should the current recommendation to accrue d ...
pandagor 发表于 2012-6-6 21:09

   So which do you think is the correct answer?

future2012

May anybody explain how to address the following questions:

1.    When interest rates rise but spreads narrow, how does a portfolio value change? It seems a paradox? There is a question about choosing which benchmark duration can achieve the largest portfolio value.

2. Ruin probability. Can you show your detail calculation process?

3.    A question in second last set need to compute credit risk. The options include: positive one、zero、negative one。

rongsummer

回复  FiFi49


    我怎么觉得当下还没有人退休，所以最少的应该是norminal bond啊 ...
greenturtle 发表于 2012-6-6 20:24

我也同意啊，可能我理解有问题噢。这个公司的利润很好，工资增加有一部分是因为实际利润的增加，通货膨胀率很高，工资另外一部分增加是因为通货膨胀，而且现在NOMINAL BOND的比例高，应该减少这个。现在没有退休职工，平均要5年后才退休，应该在6-10年才是一个退休的高峰。书上不是说，一般退休后就不INDEXED TO INFLATION，在退休前的还是要用来HEDGE REAL GROWTH 和INFLATION的。退休的时候再进行重新组合，现在的情况下的BENCHMARK PORTFOLIO还是应该减少NOMINAL BOND去HEDGE REAL GROWTH AND INFLATION的影响，个人理解这个问题哦，否则给你那么多通货膨胀率干嘛呢，又是公司的利润水平很好，还有公司没有退休员工，问了五年内的LIQUIDITY的要求，五年后的，我觉得有点关联的。

jinnix

if you look at the question, it says for the retired portion and deferred portion, they are indexed to inflation

and if you sum up the % on the table, deferred and retired combine has the highest %, that is why I chose Real Rate Bond.

The smallest is the 5% real wage growth, that one I chose equity

楼上的表格和原题差不多,就是要把deferred和retired的%加起来

我也同意啊，可能我理解有问题噢。这个公司的利润很好，工资增加有一部分是因为实际利润的增加，通货膨胀 ...
rongsummer 发表于 2012-6-7 00:24

jinnix

1.    When interest rates rise but spreads narrow, how does a portfolio value change? It seems a paradox?
There is a question about choosing which benchmark duration can achieve the largest portfolio value.

int rates rise -> all bond value should go down
spreads narrow -> treasury bond value does not change, but bonds with default risk value should go up

2. Ruin probability. Can you show your detail calculation process?

The request is to maintain at least 90% of the portfolio value with X% of confidence.
If you look at the table given, the corresponding ruin probability is in the column that allows spending $3 per $100

so you multiply $3 * $350K / $100 = $105K

May anybody explain how to address the following questions:

1.    When interest rates rise but spre ...
future2012 发表于 2012-6-6 23:19

dpictureq

1.    When interest rates rise but spreads narrow, how does a portfolio value change? It seems a par ...
jinnix 发表于 2012-6-7 00:45

    So the answer would be strategy1: use current portfolio duration will generate a high portfolio value?
Thank you

dpictureq

1.    When interest rates rise but spreads narrow, how does a portfolio value change? It seems a par ...
jinnix 发表于 2012-6-7 00:45

    So the answer would be strategy1: use current portfolio duration will generate a high portfolio value?
Thank you

future2012

1.    When interest rates rise but spreads narrow, how does a portfolio value change? It seems a par ...
jinnix 发表于 2012-6-7 00:45

Thanks! I think you took the exam outside Asia because the request you said is different with the one in 8181.
Right?

future2012

So the answer would be strategy1: use current portfolio duration will generate a high portfol ...
dpictureq 发表于 2012-6-7 00:55

You mean choice 1? Why is not benchmark duration or benchmark  spread duration?

gcaxu

1.    When interest rates rise but spreads narrow, how does a portfolio value change? It seems a par ...
jinnix 发表于 2012-6-7 00:45

You also need to consider the Portfolio return and its volatility.

The answer you gave it is too simple by CFAI standard. I am almost sure it is not the right answer.