NO.PZ2018120301000017
问题如下：
Serena
explains to Trey 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.
Serena’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：
Correct Answer: A
A is correct. Serena 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.
- 正常应该更习惯于用衍生品来rebalance不是吗？
