问题如下：
Soto’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：
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
我看发亮老师说c项不用衍生品可以降低spread risk，这个怎么理解？衍生品是否引入spread risk应该和他的标的也有关系吧？
