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Randia · 2025年06月22日

model risk

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.

仅从答题技巧的角度去考虑 是不是一般情况下 都会发生model risk的 所以选项中如果有model risk 都可以优先选择

1 个答案

发亮_品职助教 · 2025年06月23日

是的。只要是基于假设的,都会面临model risk,因为既然都要假设了,自然是和现实有一定出入的,否则就直接用现实情况做模型了。


只要假设与现实有出入,就是model risk。所以这块model risk多多少少都是存在的。


另外这道题的三个假设不是duration-matching的理论假设,是这道题的主人公按照自己的理解做了3个假设,然后基于这3个假设做策略。按照前面说的,出现假设就有model risk。


他的第二个假设,严格控制资产与负债的债券质量(Bond types and quality will closely match those of the liabilities),这保证了资产与负债接近,保证了影响两者的利率是同一个利率,所以降低的spread risk(选项B)。

他的第三个假设是用债券做策略,而不是用衍生品做策略(The portfolio will be rebalanced by buying or selling bonds rather than using derivatives.)这个避免了衍生品的对手方风险(counterparty credit risk)(选项C)



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