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HankHippo · 2020年03月01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.

想请问一下,duration matching假设了利率是平行移动的,因此consideration会有非平行移动带来的影响,进而会使immunization失败,之前讲的是叫structural risk。那这道题的意思是,这个假设是不完整的,不准确的,所以也算作由于假设和approximation所带来的的model risk对吗?

1 个答案
已采纳答案

WallE_品职答疑助手 · 2020年03月01日

同学你好,

这道题的意思是,基于这个Soto的三个假设,会带来哪一种风险。

我们做Duration match的时候是没有这三条假设的。所以他假设的第一条Yield curve shifts in the future will be parallel,是不对的。如果他的模型中没有考虑收益率曲线非平行移动,他的duration match策略就会失效,由于错误的假设带来的风险叫model risk

可以参考强化课讲义19页来复习一下各种risk的定义。

dada · 2022年03月19日

duration matching的前提假设不就是收益率曲线平行移动吗?为什么说“我们做duration matching 的时候是没有“yield curve shifts will be parallel”?

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NO.PZ2019103001000017问题如下Soto explains to Huens ththe unrlying ration-matching strategy is baseon the following three assumptions.1. Yielcurve shifts in the future will parallel.2. Bontypes anquality will closely matthose of the liabilities.3. The portfolio will rebalancebuying or selling bon rather thusing rivatives.Soto’s three assumptions regarng the ration-matching strategy incate the presenof: A.mol risk. B.sprerisk. C.counterparty cret risk. A is correct. Soto believes thany shift in the yielcurve will parallel. Mol risk arises whenever assumptions are ma about future events anapproximations are useto measure key parameters. The risk is ththose assumptions turn out to wrong anthe approximations are inaccurate. A non-parallel yielcurve shift couloccur, resulting in a mismatof the ration of the immunizing portfolio versus the liability.这个题目可以从头一下吗? 我理解三个假设就是可以解决sprerisk的问题不是吗?

2022-03-31 13:38 2 · 回答

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2022-03-14 15:45 4 · 回答

NO.PZ2019103001000017 解答里面的那个非常长的答案根本看不懂在说些什么。

2021-10-01 06:06 1 · 回答

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2021-03-23 09:48 1 · 回答