NO.PZ2021120102000033
问题如下：
An active fixed-income manager is evaluating the relative performance of an investment-grade corporate versus a high-yield corporate debt allocation in a fixed-income portfolio.
Which of the following analytical model assumption changes is most likely to reduce the future value of the high-yield portfolio relative to the investment-grade holdings?
选项：
A.Steepening of the benchmark yield volatility curve.
Decreased likelihood of an economic slowdown.
Increased likelihood of a flight to quality associated with bullish benchmark yield curve flattening (long-term rates fall by more than short-term rates do).
解释：
C is correct. Under a “flight to quality” scenario, macroeconomic factors driving government bond YTMs lower cause high-yield bond credit spreads to rise because of an increased likelihood of and expected higher severity of financial distress.
This relationship is captured in the difference between empirical and analytical duration measures.
老师，1.请讲下C选项，特别是with bullish benchmark yield curve flattening (long-term rates fall by more than short-term rates do)部分没明白，谢谢您。2.flight to quality对应的是经济变差情况吧？flight to quality具体内容在讲义第几页？3.flight to quality的情况下benchmark yield curve和credit spread curve的形状是什么样的？谢谢老师。
