Rachel
2019-11-05 14:31老師，請問課后題第五題，題目要表達(dá)的是什么意思？
所屬：CFA Level III > Fixed-Income Portfolio Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Chris Lan助教
2019-11-05 18:08
該回答已被題主采納
你好，請你把題目貼出來
-
追問
老師，書本115頁，問題5 Soto’s three assumptions regarding the duration- matching strategy indicate the presence of:A model risk.B spread risk.C counterparty credit risk.n題目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.n這道題題目從哪方面來體現(xiàn)是model risk？
-
追答
同學(xué)你好，他假設(shè)收益率曲線是平行移動的，但是收益率曲線并不一定平行移動，這是一個缺陷，所以他的模型假設(shè)在現(xiàn)實(shí)中可能并不成立，因此是模型風(fēng)險。
0
0
0
0
