Rachel2019-11-05 14:31:48
Rachel老师，请问课后题第五题，题目要表达的是什么意思？
回答（1）
Chris Lan2019-11-05 18:08:49
Chris Lan你好，请你把题目贴出来
- 评论（0）
- 追问（2）
- 追问
-
老师，书本115页，问题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题目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这道题题目从哪方面来体现是model risk？
- 追答
-
同学你好，他假设收益率曲线是平行移动的，但是收益率曲线并不一定平行移动，这是一个缺陷，所以他的模型假设在现实中可能并不成立，因此是模型风险。
评论
0/1000
追答
0/1000
+上传图片