NO.PZ2016071602000004
问题如下：
The DataSoft Corporation has an employee pension scheme with fixed liabilities and a long time horizon reflecting its young workforce. The fund's assets are $9 billion and the present value of its liabilities is $8.8 billion. Which of the following statements are incorrect?
I. The present value of long-term fixed payments behaves very much like a long position in a fixed-rate bond.
II. Surplus at risk is a measure of relative risk.
III. The DataSoft Corporation will be able to immunize its liabilities by investing $8 billion in long-term fixed-rate bonds.
选项：
A.I and II
B.II and III
C.I and III
D.I，II and III
解释：
C is correct. Statement I. is incorrect because this liability is similar to a short (not long) position in a bond. Statement II. is correct because surplus at risk is a relative risk measure, assets minus liabilities. Statement III. is incorrect because the company needs to invest $8.8 billion, not $8 billion.
老师这道题当中养老金的资产是9m，负债是8.8m，资产是可以覆盖负债的，那A好像也对唉。
C选项解析要改成8.8m就对了，这句话的意思是养老金的负债是8.8m，所以需要去投资一个面值8.8m的债券？不应该是short嘛？发行一个债券融资来负债这8.8m
