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米妮涵 · 2023年04月27日

能解释一下C选项么？

  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.

不明白C为什么是对的

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2 个答案

pzqa31 · 2023年08月01日

嗨，从没放弃的小努力你好：


用于计算二者的收益率都是公司债ytm与国债ytm，即，公司债ytm-国债ytm。

区别是Gspread要求maturity match（不匹配的话对国债ytm进行差值），而yield spread不要求maturity match（找与公司债期限较近的国债ytm即可）。

所以，如果国债ytm是flat(government benchmark yield curve is flat)，那么各期限国债ytm都是相同的，那么Gspread插值后得到的maturity match的国债ytm与不插值的ytm相等，它也与公司债期限较劲的国债ytm相等，所以，Gspread=yield spread

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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！

pzqa31 · 2023年04月28日

嗨，爱思考的PZer你好：


G-spread是公司债的YTM和相似期限政府债券的YTM之差,G-spread假设收益率曲线是水平的。

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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！

hyi725 · 2023年07月31日

你解释了仿佛没解释。。能不能说的透彻一点

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