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toffee · 2023年05月25日

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NO.PZ202209060200004704

问题如下:

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

选项:

A.model risk.

B.spread risk.

C.liquidity risk.

解释:

Solution

B is correct. Silver is referring to spread risk in his discussion with Shrewsbury regarding risks in hedging DB plan liabilities. The liabilities are estimated—that is, calculation of the PBO—using high-quality corporate bonds. The typically wider spreads of lower-quality bonds may underperform the spreads of higher-quality bonds in a market sell-off. Conversely, hedging the liabilities with swaps may not provide enough of a spread risk hedge relative to using corporate bonds such that if spreads tighten, high-quality corporate bonds (used to discount liabilities) may outperform swaps. Model risk refers to making incorrect assumptions regarding future liabilities or approximations being inaccurate. Liquidity risk is associated with exhausting available collateral funds to meet margin calls on derivative positions or to pay benefits.

A is incorrect because model risk refers to making incorrect assumptions regarding future liabilities or approximations being inaccurate.

C is incorrect because liquidity risk is associated with exhausting available collateral funds to meet margin calls on derivative positions or to pay benefits.

这道题很奇怪,原文背景都在说另外一个人描述给silver的话,怎么这个题问的是silver描述给另一个人的话?而且silver描述的只有一句话,就是说用衍生品解决不了问题?那怎么能绕到spread risk上的?

1 个答案

pzqa015 · 2023年05月26日

嗨,努力学习的PZer你好:


这里描述的不准确,应该是Shrewsbury 给Silver描述的。

Spread risk:

在免疫策略中,资产端投资债券与负债性质不同,使得收益率曲线变化时,资产与负债价格变动不一致的风险,比如资产端投资国债,负债端是公司发行的公司债,公司债有spread,而国债无spread,由于spread与基准利率变动有负向关系,那么市场基准收益率变化,国债与企业债折现率变动不一致,导致价格变动不一致,也就是免疫失效,这是spread risk。

原文有句话:

 “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.

这句话表达的就是资产与负债的债券性质不一样,导致的免疫失效的风险,这就是spread risk。

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