NO.PZ2021120102000027
问题如下：
Which of the following regarding the shape of the credit spread curve for high-yield issuers is most accurate?
选项：
A.High-yield credit spread curves change shape more over the cycle
than investment-grade ones do and usually invert during the peak phase.
Investors should exercise caution in interpreting credit spread curve shape for distressed debt issuers because their bonds tend to trade on a price rather than credit spread basis as the likelihood of default increases.
High-yield credit spread curves often invert because of the empirical observation that DTS is the best way to measure high-yield bond price changes.
解释：
B is correct. Investors should exercise caution in interpreting credit spread curve shape for distressed debt issuers because their bonds tend to trade at a price close to the recovery rate.
A is incorrect because the high-yield spread curve tends to invert during a contraction, while C is incorrect because a high-yield curve inversion is related to the relationship between near-term and long-term default as opposed to DTS.
请问选项c，书上的解释是“ for the lower rated bond(hyb), the spread changes are not on an absolute basis, but on a proportional percentage. dts is an best way to capture this effect." 请问这句话该怎么理解呢？
