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Pina · 2020年03月18日

问一道题:NO.PZ2018123101000112

问题如下:

Kowalski analyzes the outstanding bonds of DLL Corporation, a high-quality issuer with a strong, competitive position. Her focus is to determine the rationale for a positively sloped credit spread term structure. DLL’s credit spread term structure is most consistent with the firm having:

选项:

A.

low leverage.

B.

weak cash flow.

C.

a low profit margin.

解释:

A is correct. Positively sloped credit spread curves may arise when a high-quality issuer with a strong competitive position in a stable industry has low leverage, strong cash flow, and a high profit margin. This type of issuer tends to exhibit very low short-term credit spreads that rise with increasing maturity given greater uncertainty due to the macroeconomic environment, potential adverse changes in the competitive landscape, technological change, or other factors that drive a higher implied probability of default over time. Empirical academic studies also tend to support the view that the credit spread term structure is upward sloping for investment-grade bond portfolios.

老师好, 题中说Her focus is to determine the rationale for a positively sloped credit spread term structure.问题哪里可以看出是在问下面哪一项是符合high quality bond 的特征的? 一开始读题,以为是在问 下面哪一项可以说明credit spread curve will have an upward slope? 以为low leverage--> lower risk --> narrower credit spread--> slope downwards 所以不能支持curve 向上的说法。 虽然用删选的方法可以选对,想问的是怎么读题可以不理解错? 谢谢。

1 个答案

吴昊_品职助教 · 2020年03月19日

Kowalski analyzes the outstanding bonds of DLL Corporation, a high-quality issuer with a strong, competitive position. credit spread曲线向上倾斜,就代表公司目前的信用状况很好,有着较低的credit spread。

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wecash flow. a low profit margin. A is correct. Positively slopecret sprecurves marise when a high-quality issuer with a strong competitive position in a stable instry hlow leverage, strong cash flow, ana high profit margin. This type of issuer ten to exhibit very low short-term cret sprea thrise with increasing maturity given greater uncertainty e to the macroeconomic environment, potentiaerse changes in the competitive lancape, technologicchange, or other factors thive a higher implieprobability of fault over time. Empiricacamic stues also tento support the view ththe cret spreterm structure is upwarsloping for investment-gra bonportfolios. 关于这题的提问我都看了一遍,还是没理解…1)一个回答说这里是曲线是向上倾斜,并且下移……我没太明白怎么体现的下移。而且positive跟upwarsloping有什么具体区别吗?这是怎么通过图比较的?2)如果信用风险变大不应该是高杠杆吗?这怎么体现出来现在情况很好的啊…

2022-08-05 10:59 1 · 回答

NO.PZ2018123101000112 这个题目读过来的感觉是这家公司很好,但是cret curve向上倾斜了,问是什么原因?如果向上倾斜了不是因为公司信用变差了吗?

2021-03-18 00:50 1 · 回答

老师好啊, “对于high-quality issuer往往cret sprecurve是向上倾斜的 或慢慢 变fl” 是吗? 对于low-quality issuer往往cret sprecurve是否也是向上倾斜的,然后就是curve 会更steep 一点?, 因为curve 越陡, 说明cret spre会win, 这样理解对吗? 谢谢。

2020-06-21 20:12 1 · 回答

这里的positively意思也是向上倾斜的吗?

2020-06-09 12:25 1 · 回答