NO.PZ202209060200004502
问题如下：
In Island’s conversation with West, the spread measure that dealers often quote Island is most likely the:
选项：
A. I-Spread.
B. G-spread.
C. benchmark spread.
解释：
SolutionC is correct. The benchmark spread is a simple way to calculate a credit spread; it subtracts the yield on a recently issued benchmark-sized security with little or no credit risk (benchmark bond) of a particular maturity from the yield on a credit security. Typically, the benchmark bond is an on-the-run government bond. A problem with benchmark spread is the potential maturity mismatch between the credit security and the benchmark bond. Unless the benchmark yield curve is perfectly flat, using different benchmark bonds will produce different measures of credit spread.
A is incorrect because the I-spread normally uses swap rates that are denominated in the same currency as the credit security.
B is incorrect. The G-spread is the spread over an actual or interpolated government bond.
為什麼不選g-spread?