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.
spread risk.
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.
这个题目可以从头解释一下吗? 我理解三个假设就是可以解决spread risk的问题不是吗?
