标题: Cushion spread [打印本页]

---

作者: jbaldyga    时间: 2011-7-13 14:46     标题: Cushion spread

Realizing I don't understand this as well as I thought I did.

Dollar safety margin = Asset - PV of liability discounted at risk-free rate
Cushion spread = Target immunized return - return at which asset exactly meets liability

Right?

---

作者: pennyless    时间: 2011-7-13 14:46

wrong minimum required return

---

作者: justin88    时间: 2011-7-13 14:46

Would the minimum required return differ from the return at which the asset meets the liability?

---

作者: Darien    时间: 2011-7-13 14:46

Right thanks, OK, but what I mean is, wouldn't minimum required return = (FV of liability/PV of asset)?

---

作者: NakedPuts00    时间: 2011-7-13 14:46

So if our portoflio is doing better than Liability (we have cushion) so we can take some risk (active management) but as soon we hit min return then go back to immunization...

---

欢迎光临 CFA论坛 (http://forum.theanalystspace.com/)

Powered by Discuz! 7.2