标题: Necessary condition to immunize multiple liabilities [打印本页] 作者: DarienHacker 时间: 2011-7-11 19:03 标题: Necessary condition to immunize multiple liabilities
Assuming that there is a parallel shift in the yield curve, to immunize multiple liabilities:
A. Cash flows in the portfolio must be dispersed around the horizon date.
B. Cash flows in the portfolio must be concentrated around the horizon date.
C. Distribution of duration of individual assets in the portfolio must have a wider range than the distribution of the liabilities.作者: bkballa 时间: 2011-7-11 19:03
C - no doubt about it作者: oneboy 时间: 2011-7-11 19:03
C
NO EXCUSES作者: mar350 时间: 2011-7-11 19:03
It's for multiple liabilities. B is for the single liability...作者: NakedPuts2011 时间: 2011-7-11 19:03
Sorry for the late response. i sold my car 14 days ago and left the CFAI Fixed income book in it. It took me some time to get it back...
This was in CFA EOC questions: Volume 4 Page 60 Question 14:
If the distribution of the durations of the assets is wider than that of the liabilities, the durations of the assets after a parallel yield curve @#$%& (wether up or down) will envelope the durations of the liabilities after the shift. The immunization may be maintained, although rebalancing may be necessary.
