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pyt · 2021年10月05日

model risk vs spread risk

Silver and Shrewsbury continue their discussion regarding hedging the economic and market risks for a DB plan. Shrewsbury explains that any hedging program can fall short of its objective owing to a number of risks. Silver believes they can use various instruments to hedge interest rate risk but that certain risks can be more difficult to address. He tells Silver, “One risk you face in hedging the liabilities is that the yield of high-quality bonds is used in the discounting process, whereas most investment solutions use a more diversified and lower-quality portfolio of corporate bonds. Conversely, you can face the opposite problem, if you use Treasury futures or interest rate swaps to hedge the liabilities.”


Q. The risk that Silver describes to Shrewsbury in hedging the liabilities is most likely:

  1. model risk.
  2. spread risk.
  3. liquidity risk.


Solution

B is correct.


老师model risk和spread risk有那些不同? model risk is about assumptions?

1 个答案
已采纳答案

pzqa015 · 2021年10月07日

嗨,从没放弃的小努力你好:


spread risk:

 

在免疫策略中,资产与负债的性质不同,比如asset 是国债,liab是公司发行的债券,企业债有spread,国债无spread duration,那么面对市场基准收益率变化,国债与企业债折现率变化不一致,进而价格变动不一致的,这是spread risk。

 

model risk:

 

所用的模型不准确带来的风险,主要系模型使用的一系列假设导致的,比如计算PBO的过程用到一系列假设,有关于工资增长率的,有关于折现率的等等,这些假设与未来实际情况不符,可能会导致免疫策略失败,造成的风险就是model risk。


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努力的时光都是限量版,加油!

Yiyun · 2024年05月30日

关于spread risk,应该是市场基准收益率变化,国债与企业债折现率变化一致,但是市场spread收益率变化,国债与企业债折现率变化不一致,对不?

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