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src · 2022年08月07日

不太清楚a和b错的地方是否判断正确

NO.PZ2021120102000013

问题如下:

Which of the following observations on the risks of spread-based fixed-income portfolios is the most accurate?

选项:

A.

Because credit spreads equal the product of the LGD and the POD, distinguishing between the credit risk and liquidity risk components of yield spread across all market scenarios is straightforward.

B.

Given that frequent issuers with many bonds outstanding across maturities have their own issuer-specific credit curve, distinguishing between the credit spread and liquidity spread of all bonds for these issuers is straightforward.

C.

The yield spread of a particular bond comprises both credit and liquidity risk and depends on market conditions and the specific supply-and-demand dynamics of each fixed-income security

解释:

C is correct. A bond’s yield spread includes both credit and liquidity risk. Liquidity risk depends on both market conditions and the specific supply-and demand dynamics of each fixed-income security.

选项a,Because credit spreads equal the product of the LGD and the POD, distinguishing between the credit risk and liquidity risk components of yield spread across all market scenarios is straightforward.

我认为前半句是正确的,但后半句“distinguishing between the credit risk and liquidity risk components of yield spread across all market scenarios is straightforward”不太清楚说的是什么


选项b,Given that frequent issuers with many bonds outstanding across maturities have their own issuer-specific credit curve, distinguishing between the credit spread and liquidity spread of all bonds for these issuers is straightforward.

我认为前半句是正确的,同样,后半句“distinguishing between the credit risk and liquidity risk components of yield spread across all market scenarios is straightforward”不太清楚说的是什么,感觉没什么关系

1 个答案
已采纳答案

pzqa015 · 2022年08月09日

嗨,爱思考的PZer你好:


A,前半句是正确的,后半句说的是从债券spread中分理出credit risk与liquidity risk带来的spread是很容易的,显然,这是错的,credit risk会影响liquidity risk,一个典型的例子是,如果一只债券的信用状况恶化,那么它将很难卖出,此时,面临着流动性风险。

B也是同样的问题,后半句说区分credit risk与liquidity risk很容易是错误的。

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