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18516993696 · 2022年05月29日

a选项为什么不对，请解答。

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000015

问题如下：

Which of the following statements about credit spread measures is most accurate?

选项：

A.

The DM is the yield spread over the MRR established upon issuance to 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：

C is correct.

The yield spread is the simple difference between a bond’s all-in YTM and a current on-the-run government bond of similar maturity, while the G-spread is an interpolation of government benchmark yields. If the government bond yield curve is flat, these two measures will equal one another.

如题a选项为什么不对，请解答

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3 个答案

pzqa015 · 2022年06月02日

嗨，从没放弃的小努力你好：


QM根据期初发行人credit spread确定，期初QM=DM，发行后DM随着发行人credit spread变化而调整。

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努力的时光都是限量版，加油！

pzqa015 · 2022年06月02日

嗨，努力学习的PZer你好：


QM用来调整coupon rate，根据债券发行时发行人的信用风险来确定。

DM用来调整折现率，在债券发行后随着发行人的信用风险变化而变化（QM不会随着债券发行人的信用风险变化而变化）

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努力的时光都是限量版，加油！

pzqa015 · 2022年05月31日

嗨，努力学习的PZer你好：


A选项描述的是QM而不是DM

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

18516993696 · 2022年05月31日

能否用中文通俗的解释一下qm和dm的区别？

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