NO.PZ201812310200000114
问题如下:
During the presentation about how the research team estimates the probability of default for a particular bond issuer, Lok is asked for his thoughts on the shape of the term structure of credit spreads. Which statement is he most likely to include in his response?
选项:
A.The term structure of credit spreads typically is flat or slightly upward sloping for high quality investment-grade bonds. High-yield bonds are more sensitive to the credit cycle, however, and can have a more upwardly sloped term structure of credit spreads than investment-grade bonds or even an inverted curve.
B.The term structure of credit spreads for corporate bonds is always upward sloping, the more so the weaker the credit quality because probabilities of default are positively correlated with the time to maturity.
C.There is no consistent pattern to the term structure of credit spreads. The shape of the credit term structure depends entirely on industry factors.
解释:
A is correct.
B is incorrect because, although generally true for investment-grade bonds, the statement neglects the fact that high-yield issuers sometimes face a downward-sloping credit term structure. Credit term structures are not always upward sloping.
C is incorrect because there is a consistent pattern to the term structure of credit spreads— typically it is upwardly sloped because greater time to maturity is associated with higher projected probabilities of default and lower recovery rates.
B和C为啥不对呢