问题如下：
Soto explains to Hudgens 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.
Soto’s three assumptions regarding the duration-matching strategy indicate the presence of:
选项：
A.model risk.
spread risk.
counterparty credit risk.
解释：
A is correct.
Soto 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.
想请问一下，duration matching假设了利率是平行移动的，因此consideration会有非平行移动带来的影响，进而会使immunization失败，之前讲的是叫structural risk。那这道题的意思是，这个假设是不完整的，不准确的，所以也算作由于假设和approximation所带来的的model risk对吗？
