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.
老师您好，我在网上搜索了一下volatility curve的图，请问这道题说的是这个吗？（https://analystprep.com/study-notes/cfa-level-2/explain-the-maturity-structure-of-yield-volatilities-and-their-effect-on-price-volatility/）
根据老师在https://class.pzacademy.com/qa/128038 这道题中的回答：
收益率波动率曲线变陡，意味着短期波动率下降，也就是短期风险下降，是经济变好的迹象；所以，A选项说收益率波动率曲线变陡，意味着经济表现好而不是表现差。
收益率波动率曲线通常是短端变动幅度超过长端，所以，变平可以简单理解为短端波动率上升，变陡可以理解为短端波动率下降，原因是风险通常都是发生在短期，长期随着时间的消化，风险会逐步释放，所以长端波动率变动幅度小于短端，可以形象记忆为手里握着绳子，摔动绳子的话，离手近的一端抖动的最剧烈，离手远的地方可能不怎么抖动。
但是如果是根据这个volatility curve的图来看的话，长端保持不动，只有短端升高volatility才能变陡峭，这种情况不应该是市场不好的状况吗？(同理如果短端volatility下降则整条线变平，短期下降，市场情况更好）
