NO.PZ202209060200004103
问题如下：
In her response to Ruelas regarding risks, Maestre is most likely referring to:选项：
A.spread risk. B.model risk. C.counterparty credit risk.解释：
SolutionC 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.
spread risk是指：在免疫策略中，资产与负债的性质不同，比如asset 是国债，liab是公司发行的债券，企业债有spread，国债无spread duration，那么面对市场基准收益率变化，国债与企业债折现率变化不一致，进而价格变动不一致的，这是spread risk。
Bond types and quality will closely match those of the liabilities. 这句话就排除了spread risk。（原文中没有，如果有，是的，可以消除）
Benefit Pension fund中，使用ALM，那么综合考虑，必然左右俩边（asset balance sheet）使用的bond不一样，比如为了安全起见，左边更多国债，右边是高质量公司债，
有不同的spread risk，所以价格变动不同步。
此外，在衍生品部分，期货市场变动与现货市场变动也不同步，会有spread risk，这些很难消除。题目要对应原文，不同条件结论不一样。
