NO.PZ202209060200004103
问题如下:
In her response to Ruelas regarding risks, Maestre is most likely referring to:选项:
A.spread risk. B.model risk. C.counterparty credit risk.解释:
SolutionC is correct. Counterparty credit risk is essentially absent from exchange-traded derivatives, such as futures contracts, and can be essentially eliminated from over-the-counter derivatives, such as swaps, through inclusion of a Credit Support Annex. In contrast, model risk is implicit in the management of a defined-benefit pension plan, which is made up of Type IV liabilities (uncertain amount and uncertain timing). Further, most fixed-income derivatives contracts trade on credit risk–free government securities, and the pension plan’s assets consist of both investment-grade and speculative-grade corporate securities, making spread risk difficult to eliminate from the management of the portfolio.
A is incorrect because spread risk is very difficult to eliminate for a fixed-income portfolio containing a variety of investment grade and speculative grade corporate securities.
B is incorrect because model risk cannot be eliminated for a defined-benefit pension plan’s liabilities.
spread risk一般用于什么场景?由于看到题目中提到derivative overlay,我就选择了spread risk.
不选spread risk是否是因为其不好消除呀?