NO.PZ202209060200004201
问题如下：
With respect to investment-grade bonds, Larent is most likely correct with respect to which risk consideration?选项：
A.Credit risk B.Spread risk C.Interest rate risk解释：
SolutionB is correct. With respect to risk considerations for investment-grade bonds, Larent is most likely correct with respect to spread risk. Spread risk is a function of credit migration. For investment-grade bonds, the risk of credit rating migration (credit deterioration) is greater than the risk of actual credit loss. Accordingly, credit spread volatility, as opposed to outright credit default loss, is a more relevant consideration as it relates to investment-grade bonds. Spread duration measures the credit spread volatility risk in a portfolio of investment-grade bonds.
A is incorrect. Credit loss is a lesser consideration than credit migration for investment-grade bonds. Credit loss is a primary consideration for high-yield bonds.
C is incorrect. For investment-grade corporate bonds, the correlation between credit spreads and the risk-free interest rate is negative, not positive.
RISK in liability-driven investing 知识点中中对spread risk的定义是change in asset yield,change in hedge yield, change in liability yield 变化不同步。
但这道题的解析又说spread risk主要来自 credit rating migration, 这不是很矛盾么？
为什么不能选credit risk ?
