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NO.PZ202209060200004201

问题如下：

With respect to investment-grade bonds, Larent is most likely correct with respect to which risk consideration?

选项：

A.Credit risk

B.Spread risk

C.Interest rate risk

解释：

Solution

B is correct. With respect to risk considerations for investment-grade bonds, Larent is most likely correct with respect to spread risk. Spread risk is a function of credit migration. For investment-grade bonds, the risk of credit rating migration (credit deterioration) is greater than the risk of actual credit loss. Accordingly, credit spread volatility, as opposed to outright credit default loss, is a more relevant consideration as it relates to investment-grade bonds. Spread duration measures the credit spread volatility risk in a portfolio of investment-grade bonds.

A is incorrect. Credit loss is a lesser consideration than credit migration for investment-grade bonds. Credit loss is a primary consideration for high-yield bonds.

C is incorrect. For investment-grade corporate bonds, the correlation between credit spreads and the risk-free interest rate is negative, not positive.

尤其是选项B 里面的谢谢

嗨，爱思考的PZer你好：

L同学说了三句话：

Larent responds by stating that the primary component of credit risk is loss severity.

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这句话是错的，对于HYB来说，credit risk的主要风险是loss severity，IG一般不会违约，它的credit risk主要是credit migration带来的spread 变化。

she states that credit rating migration can cause spread risk to become realized.

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这句话是正确的，credit rating migration是指发行人的评级向上或向下迁徙，会导致债券的spread变化，进而引起价格变化，这部分价格变化就是spread risk导致的。

Larent then states that interest rate risk reflects the positive correlation between risk-free interest rates and credit spreads.

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这句话是错的，利率风险反映的是基准利率与债券价格的负向关系，而不是基准利率与credit spread的。

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努力的时光都是限量版，加油！

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