NO.PZ201812020100000305
问题如下：
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：
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.
老师，看了其他同学的提问，我可以理解A选项是对的，但还是有几个疑惑点：
1.讲解视频里说spread risk和counterparty credit risk存在于用衍生品对冲的情形中。这句话我觉得不太对吧，债券和衍生品都应该是会存在spread risk和counterparty credit risk的。
2.assumption 2 说的是asset端的bond可以match liability的性质，最多我可以判断asset端的bond和liability之间的yield比较接近，这种match好像和spread搭不上关系吧，spread的定义指的应该是公司债的收益率-国债的收益率
3.counterparty credit risk 确实不止存在于衍生品中，也存在于债券中，债券违约也属于对手方信用风险，所以不太明白这项为什么错
