NO.PZ2019103001000086
问题如下：
Feng, a junior fixed-income analyst in an asset management company, discusses the risks with the liability-driven investing with his supervisor.
Feng made the following statements:
Statement 1: model risk exists in the LDI investing because of the many assumptions and approximations used to measure key parameters.
Statement 2: In practice, it is common to approximate portfolio duration by using the weighted average of the individual duration. As a result, the model risk arises. This model risk can be minimized by using cash flow yield to calculate portfolio duration.
Statement 3: Spread risk arises because it is common to assume equal changes in asset, liability and hedging instrument yields.
According to the information above, which of the following is correct?
选项：
A.Statement 1 and statement 2 are wrong
B.Statement 2 is correct and statement 3 is wrong
C.Statement 2 and statement 3 are correct.
解释：
答案：C is correct.
考点：考查LDI的风险
解析：Statement 1正确。LDI investing的Model risk来源于模型的假设以及衡量指标的近似。例如，在为养老金构建LDI时，会用PBO来衡量养老金负债，而在计算养老金的PBO时，会很有多假设，如对员工工资、员工寿命、通货膨胀等等的假设。不合理的假设就会引入Model risk；
此外，衡量指标的近似，也会引入Model risk，例如，在构建资产组合匹配养老金负债时，我们假设Equity的Duration近似等于零，显然这样的近似并不合理。会引入Model risk。
Statement 2正确，通常计算债券组合的Duration数据时，会将各个成份债券的Duration做一个简单的加权平均，这样算得的Duration数据并不能很好地衡量债券组合的利率风险。这样就是对债券组合衡量指标（Duration）的近似，会引入Model risk。为了降低因为Duration不准确带来的影响，我们需要按照定义去计算债券组合的Duration数据。这时需要将债券组合看成一个大的债券，需要对每一期发生的现金流进行折现算出债券组合的Macaulay duration。对这个大债券进行折现的折现率就是组合的Cash flow yield.
Statement 3正确：在进行LDI策略时，会假设影响资产、负债的收益率是同一条收益率，所以在构建LDI时，会假设影响资产、负债的收益率变动相同的幅度。但一般影响资产、负债的收益率并不一定是同一条收益率，所以他们的收益率变动并不同步。在构建LDI策略时，这种资产、负债的收益率变动不同步带来的风险就是Spread risk.
选项C里的spread risk，感觉与衍生品里的basis risk好像，能稍微解释一下吗？还是说在FI这门课里就不考虑basis risk这个概念。
