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Arnie · 2022年11月04日

A选项和B选项错在哪里呢？

  1. CFA III
  2. Fixed Income

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.

没有找到讲义上对应的知识点

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2 个答案

pzqa015 · 2022年11月05日

嗨，努力学习的PZer你好：


B的后半句也说可以很容易区分出credit spread与liquidity spread，也是不正确的。

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pzqa015 · 2022年11月05日

嗨，努力学习的PZer你好：


这是一个综合的知识点。考察的是对spread的理解。

spread是yb与yc之间的差，代表的是相对于benchmark，考察债券的风险溢价，这个风险溢价最基本就包含了信用风险溢价和流动性风险溢价，二者本身互相影响，信用恶化后，流动性风险随之变差，信用状况变好后，流动性风险随之变好，A的后半句说可以直接区分出信用风险溢价和流动性风险溢价，显然是不准确的，实际上我们很难对二者做出区分。

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