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.
你好，问下这道题。这道题是Serena这个人对所要用的duration-matching策略做了三个假设对吧，而不是正常的duration-matching组合该有的假设是吗？
duration-matching strategy is based on the following three assumptions，我看到这句话想到的其实是：yield curve平行移动、PV assets = PV liabilities、Macaulay duration of asset = Macaulay duration of liability、minimize convexity。所以我没有选A，因为我觉得久期匹配的假设确实是曲线parallel shift的。
但没想到题目问的是她的假设有什么问题。。。所以她的假设和现实中的久期匹配没啥关系是吗？纯粹是问她自己做出的假设中有什么漏洞？
