NO.PZ2020033002000087
问题如下：
In CreditMetrics approach, various factors are used to compute values. However, the risk is most likely to be overestimated if which of the following is ignored?
选项：
A. The
term structure of interest rates
B. Rating
drift
C. Spread
risk
D. The
negative correlation between the Treasury rates and credit spreads
解释：
D is correct.
考点：CreditMetrics
解析：
Rf 和 spread 通常会呈现负相关，这样，实际上来说会使信用债收益率的变化幅度更小，即评估出来的风险会低一些，相反的忽略这个条件会高估风险。
这题完全没头绪，一看到就懵
