NO.PZ2023040701000097
问题如下：
Lebedeva begins the meeting by discussing credit rating migration. Kowalski asks Lebedeva about the typical impact of credit rating migration on the expected return on a bond. Lebedeva asks Kowalski to estimate the expected return over the next year on a bond issued by Entre Corp. The BBB rated bond has a yield to maturity of 5.50% and a modified duration of 7.54. Kowalski calculates the expected return on the bond over the next year given the partial credit transition and credit spread data in Exhibit 1. She assumes that market spreads and yields will remain stable over the year.
Exhibit 1 One-Year Transition Matrix for BBB Rated Bonds and Credit
Spreads
The most appropriate response to Kowalski’s question regarding credit rating migration is that it has:
选项：
A.a negative impact.
no impact.
a positive impact.
解释：
Correct Answer: A
Credit spread migration typically reduces the expected return for two reasons. First, the probabilities for rating changes are not symmetrically distributed around the current rating; they are skewed toward a downgrade rather than an upgrade. Second, the increase in the credit spread is much larger for downgrades than is the decrease in the spread for upgrades.
还有如果现在评级是B的话，那migration应该是positive impact？
