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丁崽 · 2018年03月19日

问一道题:NO.PZ2016082406000061

问题如下图:

    

选项:

A.

B.

C.

D.

解释:


能否解释一下B为什么错?谢谢

1 个答案

妙悟先生品职答疑助手 · 2018年03月19日

一般的公司债都是风险债券,与政府发行的无风险债券相对应,差异就在于购买公司债需要额外承担违约风险,同时获得承担这部分风险需要的补偿。卖出CDS在经济特征上是承担信用风险,同时获得该部分的收益补偿。所以在经济上,公司债的风险及收益特征,相当于购买无风险债券同时卖出一份CDS。B只考虑了违约风险没有考虑无风险部分,所以是错误的。

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