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rikkisong72 · 2020年02月14日

问一道题:NO.PZ2019103001000017

问题如下:

Soto explains to Hudgens 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.

Soto’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:

A is correct.

Soto 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.

请问讲义中哪里说到过model risk?

1 个答案

carolllll · 2020年02月14日

同学你好,

 

这里考察的是 reading 19的Risks in Liability-Driven Investing。这是个很重要的知识点哦,需要掌握。

 

这里简单复习一下model risk:

Model risk是指我们在计算liability的时候有很多的assumptions and approximations,从而导致,如果这些assumptions and approximations不符合现实,就会使得我们的model不准确,从而会有risk。

 

举个例子:assumptions in PBO and ABO calculation

 

希望对你有帮助哦~

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