NO.PZ2023032703000041
问题如下：
Beatriz Maestre is a fixed-income consultant who has been retained by Filipe Ruelas, the CFO of Cávado Produtos Agricolas, SA (Cávado). Cávado is a manufacturer of prepared foods headquartered in Braga, Portugal.
Ruelas tells Maestre he is concerned about the many risks Cávado faces both in managing the pension fund and in managing the derivatives overlay. He asks if any risks can be avoided. Maestre names a risk that is not faced in managing the portfolio and would be virtually eliminated through careful selection of the type of derivatives used in the overlay.
In her response to Ruelas regarding risks, Maestre is most likely referring to:
选项：
A.spread risk.
model risk.
counterparty credit risk.
解释：
C is correct. Counterparty credit risk is essentially absent from exchange-traded derivatives, such as futures contracts, and can be essentially eliminated from over-the-counter derivatives, such as swaps, through inclusion of a Credit Support Annex. In contrast, model risk is implicit in the management of a defined-benefit pension plan, which is made up of Type IV liabilities (uncertain amount and uncertain timing). Further, most fixed-income derivatives contracts trade on credit risk–free government securities, and the pension plan’s assets consist of both investment-grade and speculative-grade corporate securities, making spread risk difficult to eliminate from the management of the portfolio.
A is incorrect because spread risk is very difficult to eliminate for a fixed-income portfolio containing a variety of investment grade and speculative grade corporate securities.
B is incorrect because model risk cannot be eliminated for a defined-benefit pension plan’s liabilities.
Maestre names a risk that is not faced in managing the portfolio and would be virtually eliminated through careful selection of the type of derivatives used in the overlay.
