源_品职助教 · 2020年12月05日
嗨，努力学习的PZer你好：
首先两者的差别应该是不大的。
至于为什么用 credit premium而不是credit spread ，原版书教材没有正面说明。
但是原版书有这么段话The study found that the previous year’s default rate, stock market return, stock market volatility, and GDP growth rate were predictive of the subsequent year’s default rate. However, the aggregate credit spread was not predictive of subsequent defaults
这可能暗示了用credit spread计算算的并不准确。
-------------------------------加油吧，让我们一起遇见更好的自己！
