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lilymousse · 2024年07月09日

选项C

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000015

问题如下：

Which of the followingstatements about credit spread measures is most accurate?

选项：

A.

The DM is the yield spread over the MRR established upon issuanceto 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：

Cis correct.

Theyield spread is the simple difference between a bond’s all-in YTM and a current on-the-run governmentbond of similar maturity, while the G-spread isan interpolation of government benchmark yields. If the government bond yieldcurve is flat, these two measures will equal one another.

答案里关于选项C的说明不是特别理解，能再解释一下吗

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1 个答案

pzqa31 · 2024年07月10日

嗨，从没放弃的小努力你好：


用于计算二者的收益率都是公司债ytm与国债ytm，即，公司债ytm-国债ytm。

区别是Gspread要求maturity match（不匹配的话对国债ytm进行插值），而yield spread不要求maturity match（找与公司债期限较近的国债ytm即可）。

所以，如果国债ytm是flat(government benchmark yield curve is flat)，那么各期限国债ytm都是相同的，那么Gspread插值后得到的maturity match的国债ytm与不插值的ytm相等，它也与公司债期限较劲的国债ytm相等，所以，Gspread=yield spread

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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