NO.PZ2023091701000007
问题如下：
A junior credit risk analyst at a US firm is preparing a research report on the attributes and investmentperformance of corporate bonds. In analyzing corporate bond default rates, credit-spread risk, recovery rates,and their impact on portfolio returns for a typical class of investment grade bonds, which of the following iscorrect?
选项：
A.The distribution of recovery rates of corporate issues is best described as a binomial distribution.
B.The size of a bond issuance is not empirically related to its recovery rates.
C.Measured over the same time period, US Treasury securities always outperform a portfolio of corporatebonds that experiences defaults.
D.Spread duration is best measured by the change in the corporate bond yield for a given 100 bp change inthe Treasury rate.
解释：
Recovery rates are not related to bond issuance size.
A is incorrect. The empirical distribution of recovery rates is bimodal, and not binomial,normal or lognormal.
C is incorrect. It is possible for a corporate bond that experiences defaults to outperformUS Treasury securities.
D is incorrect. While measuring a corporate’s credit-spread risk, the Treasury rate (riskfree rate) is held unchanged. One of the measures of credit-spread risk is “spreadduration,” which is the approximate percentage change in a bond’s price for a 100 bpchange in the credit-spread assuming that the Treasury rate is unchanged.
C什么意思？同样的期限，美国国债在违约方面优于公司债？就是说美国国债更容易违约，所以是错的？
