NO.PZ202112010200001901
问题如下：
Which bond rating category offers the highest expected excess return if credit spreads remain stable under current market conditions?
选项：
A.A rated bond category
BBB rated bond category
BB rated bond category
解释：
B is correct. Recall that expected excess spread is defined as follows:
E [Excess Spread] ≈ Spread0 –
(EffSpreadDur × ΔSpread) – (POD × LGD)
Because ∆Spread = 0, the expected excess spread is the simple difference between current OAS and expected loss, so E[Excess Spread] is 0.90%, 1.00%, and 0.25% for the A-, BBB-, and B rated categories, respectively.
这题的考点我理解的是在credit curve remain constant的条件下，买哪个债券获利最多。如果是这样的话，就不考虑credit spread和loss，那就直接选一个rating最低，也就是credit spread最大的，就是BBrating的那个。但是答案明显是考虑了 default loss的因素，请问题目里说了credit spread remain constant，那就是credit不变，就是不会default， 为什么还要考虑default loss呢？
