问题如下图：
选项：
A. 
B. 
C. 
解释：
没看懂答案是什么意思呢
发亮_品职助教 · 2019年03月31日
题干中Soto说的关于Duration-Matching的三个假设如下：
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.
其中第一个假设就是他认为将来的收益率曲线是平行移动的。
这样的假设就会引入模型风险，因为收益率曲线的移动，基本上都不是单纯的平行移动，一般可以拆解成平行移动和其他Twists、Curvature变动，也就说很多情况下收益率曲线的移动存在Non-parallel的变化。
在只有平行移动的这种假设情况下，在构建匹配策略时，就只考虑到了收益率曲线的平行移动，这样就会忽略非平行移动带来的影响。
所以按照这份方法构建匹配的组合会引入模型风险。如果收益率曲线发生非平行移动，用原来平行移动假设构建的策略，就会使得资产和负债之间产生不匹配的情况。上面的解释基本上就是答案说的意思。
NO.PZ201812020100000305 问题如下 Serena’s three assumptions regarng the ration-matching strategyincate the presenof: mol risk. sprerisk. counterparty cret risk. Ais correct. Serena believes thany shift in the yielcurve will parallel.Mol risk arises whenever assumptions are ma about future events anpproximations are useto measure key parameters. The risk is ththoseassumptions turn out to wrong anthe approximations are inaccurate. Anon-parallel yielcurve shift couloccur, resulting in a mismatof theration of the immunizing portfolio versus the liability. 老师，看了其他同学的提问，我可以理解A是对的，但还是有几个疑惑点1.讲解视频里说sprerisk和counterparty cret 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spre risk和counterparty cret risk的。2.assumption 2 说的是asset端的bon以matliability的性质，最多我可以判断asset端的bonliability之间的yiel较接近，这种match好像和sprea不上关系吧，sprea定义指的应该是公司债的收益率-国债的收益率3.counterparty cret 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
NO.PZ201812020100000305 sprerisk. counterparty cret risk. A is correct. Soto believes thany shift in the yielcurve will parallel. Mol risk arises whenever assumptions are ma about future events anapproximations are useto measure key parameters. The risk is ththose assumptions turn out to wrong anthe approximations are inaccurate. A non-parallel yielcurve shift couloccur, resulting in a mismatof the ration of the immunizing portfolio versus the liability 第二个假设里用相同的quality bon 不是对应cret risk 吗？
NO.PZ201812020100000305
sprerisk. counterparty cret risk. A is correct. Soto believes thany shift in the yielcurve will parallel. Mol risk arises whenever assumptions are ma about future events anapproximations are useto measure key parameters. The risk is ththose assumptions turn out to wrong anthe approximations are inaccurate. A non-parallel yielcurve shift couloccur, resulting in a mismatof the ration of the immunizing portfolio versus the liability 我看发亮老师说c项不用衍生品可以降低sprerisk，这个怎么理解？衍生品是否引入sprerisk应该和他的标的也有关系吧？
Counterparty cret risk 为什么只在衍生品中存在，corporate bon没有吗