NO.PZ202105270100000406
问题如下：
Using the building block approach, the required rate of return for the ZMC bond will most likely:
选项：
A.increase based on the change in the credit premium. B.decrease based on the change in the default-free rate. C.decrease based on the change in the liquidity premium.解释：
A is correct.
The credit premium is the additional expected return demanded for bearing the risk of default losses. A credit downgrade two steps lower will increase the credit premium and the required rate of return. The change in the default-free rate associated with the monetary tightening will increase (not decrease) the required rate of return. The widening of the spread between the sovereign bond and the next highest-quality government agency security indicates an increase in the liquidity premium, which will increase (not decrease) the required rate of return.
B is incorrect because the required rate of return would increase (not decrease) based on the change in the default-free rate associated with the monetary tightening.
C is incorrect because the rate of return would increase (not decrease) based on a change in the liquidity premium. The liquidity premium can be estimated from the yield spread between the highest-quality issuer (typically a sovereign bond) and the next highest-quality large issuer of similar bonds (often a government agency). A widening yield spread indicates an increase in the liquidity premium and required rate of return.
信用溢价是承担违约损失风险所要求的额外预期收益。信用评级再下调两级，将增加信用溢价和所需的回报率。与货币紧缩相关的无违约利率的变化将增加(而不是减少)所需的回报率。主权债券与第二高质量政府机构证券之间的息差不断扩大，表明流动性溢价上升，这将提高(而非降低)所需的回报率。
B是错误的，因为要求的回报率将增加(而不是减少)基于与货币紧缩相关的无违约利率的变化。
C是错误的，因为收益率会根据流动性溢价的变化而增加(而不是减少)。流动性溢价可以通过最优质的发行人(通常是主权债券)与次之的同类债券大型发行人(通常是政府机构)之间的收益率差来估计。利差的扩大表明流动性溢价和要求收益率的增加。
老师好 到底应该怎么判断return 上去还是下去？ 这里答案是说A credit downgrade two steps lower will increase the required rate of return.
但如果按基础班（截图）的做法就是， 从马上increase short term rate 的话， 不是 Price of bond 会下降，然后return of the bond 会下去， 于是credit premium 不是会下降吗？
按基础班 (（截图）的说法就是 不好的事情 （比如default)发生，就会导致P下去（因为折现率变大为了compensate deault risk here) 然后rerturn 下去，然后credit premium 下去？ 但这题里认为不好的事情发生（credit downgrade two steps lower) 反而会导致大家要求的return 变高。虽然这思路也可以理解，就是和上课的做法为什么不同，以哪个办法来做？ 谢谢。
