137****6108
2023-12-21 23:17請(qǐng)講解下
所屬：CFA Level III > Fixed-Income Portfolio Management 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Simon助教
2023-12-23 10:15
該回答已被題主采納
同學(xué)，上午好。
A. spread risk Spread risk利差風(fēng)險(xiǎn)，是利差變動(dòng)導(dǎo)致市場(chǎng)利率變動(dòng)所帶來(lái)的風(fēng)險(xiǎn)。
B. model risk Model risk：模型風(fēng)險(xiǎn)，模型假設(shè)錯(cuò)誤（例如：假設(shè)alternative與equity的duration=0）
C. counterparty credit risk對(duì)手方信用風(fēng)險(xiǎn)，對(duì)手違約。為了避免違約風(fēng)險(xiǎn)，可以選信用質(zhì)量好的對(duì)手方或者選那么能避免違約風(fēng)險(xiǎn)的衍生品來(lái)教育。所以是careful selection of the type of derivatives used in the overlay.
題目中信息“Maestre names a risk that is not faced in managing the portfolio and would be virtually eliminated through careful selection of the type of derivatives used in the overlay.”
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