NO.PZ2023032703000067
问题如下：
Which of the following statements about credit spread measures is most accurate?
选项：
A.The DM is the yield spread over the MRR established upon issuance to compensate investors for assuming an issuer’s credit risk.
The Z-DM will be above the DM if the MRR is expected to remain constant over time.
The yield spread for a corporate bond will be equal to the G-spread if the government benchmark yield curve is flat.
解释：
C is correct. The yield spread is the simple difference between a bond’s all-in YTM and a current on-the-run government bond of similar maturity, while the G-spread is an interpolation of government benchmark yields. If the government bond yield curve is flat, these two measures will equal one another.
A
The DM is the yield spread over the MRR established upon issuance to compensate investors for assuming an issuer’s credit risk.【怎么错了？讲义上就DM是spread over MRR】
B
The Z-DM will be above the DM if the MRR is expected to remain constant over time.【不懂，讲义上只写了要用forward MRR】
C
The yield spread for a corporate bond will be equal to the G-spread if the government benchmark yield curve is flat.【yield spread 和Gspread 有什么区别呢？公式上看都差不多，怎么理解interpolated? 题干所指的yield curve flat怎么理解？】
