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vivianlsq · 2022年05月12日

用bond而非derivative来调整,会存在派息导致的underlying不匹配的问题,所以有spread risk。

NO.PZ2018120301000017

问题如下:

Serena explains to Trey that the underlying duration-matching strategy is based on the following three assumptions.

1. Yield curve shifts in the future will be parallel.

2. Bond types and quality will closely match those of the liabilities.

3. The portfolio will be rebalanced by buying or selling bonds rather than using derivatives.

Serena’s three assumptions regarding the duration-matching strategy indicate the presence of:

选项:

A.

model risk.

B.

spread risk.

C.

counterparty credit risk.

解释:

Correct Answer: A

A is correct. Serena believes that any shift in the yield curve will be parallel. Model risk arises whenever assumptions are made about future events and approximations are used to measure key parameters. The risk is that those assumptions turn out to be wrong and the approximations are inaccurate. A non-parallel yield curve shift could occur, resulting in a mismatch of the duration of the immunizing portfolio versus the liability.

请问老师这样理解哪里不对?

1 个答案
已采纳答案

pzqa015 · 2022年05月13日

嗨,努力学习的PZer你好:


这里是你过分引申了

C选项虽然说用Bond代替derivative,但并没有说用的bond类型与负债类型不一样,所以,也就没法推出有spread risk。同学做题时一定切忌过度引申,只能根据题目给的条件来判断。

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