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dauphinois16 · 2023年03月16日

A答案错在哪

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000015

问题如下：

Which of the followingstatements about credit spread measures is most accurate?

选项：

A.

The DM is the yield spread over the MRR established upon issuanceto compensate investors for assuming an issuer’s credit risk.

B.

The Z-DM will be above the DM if the MRR is expected to remain constant over time.

C.

The yield spread for a corporate bond will be equal to the G-spread if the government benchmark yield curve is flat.

解释：

Cis correct.

Theyield spread is the simple difference between a bond’s all-in YTM and a current on-the-run governmentbond of similar maturity, while the G-spread isan interpolation of government benchmark yields. If the government bond yieldcurve is flat, these two measures will equal one another.

​A答案错在哪，如果把DM改成QM对不对？

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4 个答案

pzqa015 · 2023年12月26日

嗨，爱思考的PZer你好：


QM是 upon issuance时确定的，DM是随时变的，不一定是upon issuance确定的。

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worldcup · 2023年12月25日

为什么A选项 upon issuance 不对啊

pzqa015 · 2023年12月09日

嗨，从没放弃的小努力你好：


reset 的时候，QM考虑当时的credit risk，但是两个reset date之间，QM是不考虑credit risk变化的。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

pzqa015 · 2023年08月31日

嗨，从没放弃的小努力你好：


A错在多了upon issuance，QM是upon issuance时定下来的，把upon issuance去掉，A是正确的。或者把DM换成QM，也可以。

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加油吧，让我们一起遇见更好的自己！

菜頭 · 2023年12月09日

但是QM不是不考虑credit risk吗？

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