Reading 27: Fixed-Income Portfol....anagementPart I－LOS k multiple, contrast, liability, single, class

tycoon

CFA Institute Area 8-11, 13: Asset Valuation
Session 8: Management of Passive and Active Fixed Income Portfolios
Reading 27: Fixed-Income Portfolio ManagementPart I
LOS k: Compare and contrast immunization strategies for a single liability, multiple liabilties, and general cash flows.

[此贴子已经被作者于2008-9-15 14:36:43编辑过]

tycoon

Which of the following CORRECTLY describes cash flow matching for a single liability? Cash flow matching involves:

A) selecting a bond with the same duration as the liability.

B) buying and selling bonds in a way to match the cash flows of a liability.

C) selecting a bond with a present value equal to the present value of the liability and with the same maturity.

D) selecting a bond whose cash flows coincide exactly with the payments of the liability.

---

Answer and Explanation

Cash flow matching is matching up the cash flows from a bond to fund a liability stream so that the asset value of the bond is zero after the last liability is paid.

Cash flow matching is matching up the cash flows from a bond to fund a liability stream so that the asset value of the bond is zero after the last liability is paid.

tycoon

Which strategy for funding multiple liabilities uses a process for selecting bonds that have cash flows that correspond to those of the liability stream?

A) Cash flow matching.

B) Combination matching.

C) Multiple liability immunization.

D) Contingent immunization.

---

Answer and Explanation

The cash flow matching strategy for funding multiple liabilities uses a process for selecting bonds that have cash flows that correspond to those of the liability stream.

The cash flow matching strategy for funding multiple liabilities uses a process for selecting bonds that have cash flows that correspond to those of the liability stream.

deqiang

thanks.