NO.PZ2021120102000015
问题如下:
Which of the following statements about credit spread measures is most accurate?
选项:
A.The DM is the yield spread over the MRR established upon issuance
to compensate investors for assuming an issuer’s credit risk.
The Z-DM will be above the DM if the MRR is expected to remain constant over time.
The yield spread for a corporate bond will be equal to the G-spread if the government benchmark yield curve is flat.
解释:
C is correct.
The yield spread is the simple difference between a bond’s all-in YTM and a current on-the-run government bond of similar maturity, while the G-spread is an interpolation of government benchmark yields. If the government bond yield curve is flat, these two measures will equal one another.
Z-DM和DM的区别可以简单理解为前者考虑到了MRR的变化,而后者是假设MRR不变么?对于DM来说,由于假设MRR不变,所以floating note的price变化是通过DM的变化来实现的,但是对于Z-DM来说,由于假设MRR是变化的,所以Z-DM是constant的。不知道这样的理解正确吗?