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jojo · 2024年06月16日

请问选项B的结论到底是Z-DM＜DM还是Z-DM=DM，看了两个不同的解析

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000015

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.

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：

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.

https://class.pzacademy.com/qa/148134 这是助教老师今年的解答

https://class.pzacademy.com/qa/98509 这是老师2022年的解答


(•_•)?

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1 个答案

pzqa31 · 2024年06月17日

嗨，从没放弃的小努力你好：


这两位老师说的都没错，单独就这道题而言，B选项说MRR remains constant，所以应该是Z-DM=DM，然后2022年这位老师说的是如果预期future MRR上升，也就是Zn＞MRR的情况下，Z-DM

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