NO.PZ2021120102000033
问题如下：
An active fixed-income manager is evaluating the relative performance of an investment-grade corporate versus a high-yield corporate debt allocation in a fixed-income portfolio.
Which of the following analytical model assumption changes is most likely to reduce the future value of the high-yield portfolio relative to the investment-grade holdings?
选项：
A.Steepening of the benchmark yield volatility curve.
Decreased likelihood of an economic slowdown.
Increased likelihood of a flight to quality associated with bullish benchmark yield curve flattening (long-term rates fall by more than short-term rates do).
解释：
C is correct. Under a “flight to quality” scenario, macroeconomic factors driving government bond YTMs lower cause high-yield bond credit spreads to rise because of an increased likelihood of and expected higher severity of financial distress.
This relationship is captured in the difference between empirical and analytical duration measures.
---A选项Steepening of the benchmark yield volatility curve.
可以理解为volatility的上升会对 HYB和IGB都会有影响，不能使得两者有明显的区分？
---C选项Increased likelihood of a flight to quality associated with bullish benchmark yield curve flattening (long-term rates fall by more than short-term rates do).
前面的Increased likelihood of a flight to quality可以理解，但是with。。。后面的加上去有点不知道想要表达什么
