NO.PZ2021120102000015
问题如下:
Which of the followingstatements about credit spread measures is most accurate?
选项:
A.
The DM is the yield spread over the MRR established upon issuanceto compensate investors for assuming an issuer’s credit risk.
B.
The Z-DM will be above the DM if the MRR is expected to remain constant over time.
C.
The yield spread for a corporate bond will be equal to the G-spread if the government benchmark yield curve is flat.
解释:
Cis correct.
Theyield spread is the simple difference between a bond’s all-in YTM and a current on-the-run governmentbond of similar maturity, while the G-spread isan interpolation of government benchmark yields. If the government bond yieldcurve is flat, these two measures will equal one another.
选项b的正确说法是什么?