C是指什么

问题如下：

A fixed-income portfolio manager at a pension fund is investigating the information contained in credit ratings and credit default swap spreads. The manager reviews the literature on the subject and finds research by Hull, Predescu, and White examining the impact of rating changes on credit default swap spreads. According to this study, which of the following ratings actions is found to have the greatest impact on credit default swap spreads when announced?

选项：

A.

Watchlist reviews for ratings upgrades

B.

Ratings upgrades

C.

Watchlist reviews for ratings downgrades

D.

Ratings downgrades

解释：

中文解析：

C正确。经济学家Hull等人研究了利率变动对信用违约互换价差的影响，发现下调评级的观察列表包含重要信息，但是评级下调本身并没有很显著的影响。上调评级的影响就更微弱了。总而言之，信用违约互换的价差变化可以看作是对利率变动的预期。

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C is correct. Hull, Predescu, and White (2004) looked at the impact of rating changes on credit default swap spreads and found that watchlist reviews for a downgrade contain significant information, but downgrades and negative outlooks to not. Positive rating events were much less significant. Generally, credit default swap changes seem to anticipate rating changes.

A, B, and D are incorrect per the explanation for C above.