NO.PZ202209060200004704
问题如下：
The risk that Silver describes to Shrewsbury in hedging the liabilities is most likely:
选项：
A.model risk.
B.spread risk.
C.liquidity risk.
解释：
SolutionB is correct. Silver is referring to spread risk in his discussion with Shrewsbury regarding risks in hedging DB plan liabilities. The liabilities are estimated—that is, calculation of the PBO—using high-quality corporate bonds. The typically wider spreads of lower-quality bonds may underperform the spreads of higher-quality bonds in a market sell-off. Conversely, hedging the liabilities with swaps may not provide enough of a spread risk hedge relative to using corporate bonds such that if spreads tighten, high-quality corporate bonds (used to discount liabilities) may outperform swaps. Model risk refers to making incorrect assumptions regarding future liabilities or approximations being inaccurate. Liquidity risk is associated with exhausting available collateral funds to meet margin calls on derivative positions or to pay benefits.
A is incorrect because model risk refers to making incorrect assumptions regarding future liabilities or approximations being inaccurate.
C is incorrect because liquidity risk is associated with exhausting available collateral funds to meet margin calls on derivative positions or to pay benefits.
这道题很奇怪，原文背景都在说另外一个人描述给silver的话，怎么这个题问的是silver描述给另一个人的话？而且silver描述的只有一句话，就是说用衍生品解决不了问题？那怎么能绕到spread risk上的？
