Phoebe · 2021年04月17日
NO.PZ2018123101000029
问题如下：
Which of the following spread measures could be used as a good indicator of the risk and liquidity of money market securities.
选项：
A.Z-spread.
B.Treasury-Eurodollar (TED) spread.
C.Libor-OIS (overnight indexed swap) spread.
解释：
C is correct.
考点：TED Spread and Libor–OIS Spread
解析：Libor-OIS利差被视为货币市场证券风险和流动性的指标。
三个选项的spread 都会有credit risk & liquidity risk， 为什么只有C是正确的？ money market security具体指什么？
NO.PZ2018123101000029 问题如下 Whiof the following spremeasures coulusea gooincator of the risk anliquity of money market securities. Z-sprea B.TEsprea C.MRR-OIS sprea C is correct.考点TESpreanMRR–OIS Sprea析MRR-OIS利差被视为货币市场证券风险和流动性的指标。 什么是MRR rate？money market rate？
NO.PZ2018123101000029 问题如下 Whiof the following spremeasures coulusea gooincator of the risk anliquity of money market securities. Z-sprea B.TEsprea C.MRR-OIS sprea C is correct.考点TESpreanMRR–OIS Sprea析MRR-OIS利差被视为货币市场证券风险和流动性的指标。 B不是也可以衡量风险和流动性吗？看之前的回答感觉没回答到点上
NO.PZ2018123101000029 问题如下 Whiof the following spremeasures coulusea gooincator of the risk anliquity of money market securities. Z-sprea B.TEsprea C.MRR-OIS sprea C is correct.考点TESpreanMRR–OIS Sprea析MRR-OIS利差被视为货币市场证券风险和流动性的指标。 TEspre衡量的是金融机构之间回购利率和国债之间的sprea既反映了信用风险，也反映了流动性风险。为啥不选B呢。C我的理解是，更侧重于反应流动性风险的啊。
NO.PZ2018123101000029问题如下 Whiof the following spremeasures coulusea gooincator of the risk anliquity of money market securities. Z-sprea B.TEsprea C.MRR-OIS sprea C is correct.考点TESpreanMRR–OIS Sprea析MRR-OIS利差被视为货币市场证券风险和流动性的指标。 是因为z sprea多了option risk 吗？而题目只要求反映流动性和信用风险？
