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Arnie · 2023年11月27日

b选项

  1. CFA III
  2. Fixed Income

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.

B.

The Z-DM will be above the DM if the MRR is expected to remain constant over time.

C.

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.

B选项：The Z-DM will be above the DM if the MRR is expected to remain constant over time.

如果MRR是MRR is expected to remain constant over time. Z-DM 应该是below DM，因为这里的constant不代表flat吧

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3 个答案

pzqa31 · 2023年11月28日

嗨，从没放弃的小努力你好：


z-DM什么？

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

yiml · 2023年11月27日

没看懂，为啥要预期MRR上升呢？题目不是假设不变么

pzqa31 · 2023年11月27日

嗨，努力学习的PZer你好：


   B选项的意思是如果预期MRR保持不变，则Z-DM大于DM。

1)      DM的定价公式（公式1）如下图：

2) Z-DM的定价公式（公式2）如下图：

首先公式1等于公式2。因为不论是用Z-DM折现求和，还是DM折现求和，得到的债券现在的价格是相等的，也就是说两张图片中的PV是一样的。其次，在任何一个求价格的公式中，对PV影响最大的一期现金流是最后一期，也就是要考虑FV的一期现金流。

那么我们可以进一步简化为让上面两个公式的最后一项相等。

=

如果预期future MRR上升，也就是Zn＞MRR。

 

单独看分子：(Zn+QM)*FV＞(MRR+QM）*FV

 

看分母：(1+(Zn+Z-DM)/m)^N也应该大于(1+(MRR+DM)/m)^N，并且幅度与分子保持一致（等式才能成立）

 

但由于分母有N次幂，所以，(Zn+Z-DM)/m并不会比(MRR+DM)/m大太多（N次幂会有放大作用）。

 

可以认为二者是接近相等的，那么既然(Zn+Z-DM)/m=(MRR+DM)/m。

 

由于Zn>MRR，Z-DM

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加油吧，让我们一起遇见更好的自己！

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