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蕾 · 2024年01月12日

这道题A哪里错了

  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.

这道题A哪里错了

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2 个答案

pzqa31 · 2024年01月21日

嗨，爱思考的PZer你好：


区别在于upon issuance，QM根据期初发行人credit spread确定，QM用来调整coupon rate，根据债券发行时发行人的信用风险来确定。期初QM=DM。DM用来调整折现率，在债券发行后随着发行人的信用风险变化而变化发行后DM随着发行人credit spread变化而调整。（QM不会随着债券发行人的信用风险变化而变化）


A选项说的是QM不是DM。

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加油吧，让我们一起遇见更好的自己！

pzqa31 · 2024年01月12日

嗨，努力学习的PZer你好：


QM不是对承担信用风险的补偿，DM才是对承担信用风险的补偿。应该是The DM is the yield spread over the MRR to compensate investors for assuming an issuer’s credit risk.或者是The QM is the yield spread over the MRR established upon issuance.

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

李惜雯💭 · 2024年01月21日

老师你的回答不就是A选项说的吗？

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