NO.PZ202112010200001901
问题如下：
Which bond rating category offers the highest expected excess return if credit spreads remain stable under current market conditions?
选项：
A.A rated bond category
BBB rated bond category
BB rated bond category
解释：
B is correct. Recall that expected excess spread is defined as follows:
E [Excess Spread] ≈ Spread0 –
(EffSpreadDur × ΔSpread) – (POD × LGD)
Because ∆Spread = 0, the expected excess spread is the simple difference between current OAS and expected loss, so E[Excess Spread] is 0.90%, 1.00%, and 0.25% for the A-, BBB-, and B rated categories, respectively.
spread 0 一般要乘 年化的时间，这里是直接假设为一年 *1吗
