credit risk不是补偿非系统性风险吗？为什么选A

问题如下：

A quantitative analyst is preparing a performance report of a corporate bond portfolio. For the previous 1-year period, the analyst finds that the return on the portfolio was 4.4% and decomposes this return as follows:

• Return attributable to the risk-free interest rate: 3.4%
• Return attributable to the credit spread: 2.0%
• Loss rate over the period: 1.0%

When observing the portfolio’s returns over a 3-year period, the analyst notes that the difference between the portfolio’s return attributable to the credit spread and its loss rate remained positive and varied from 0.7% to 1.3% each year. Which of the following would the analyst be correct to identify as the most likely explanation for the persistent positive difference between the credit spread and the loss rate?

选项：

A.Bond investors are being compensated for their exposure to systematic risk. B.Credit spreads are specifically set by market makers to be greater than loss rates. C.Corporate bonds have more liquidity than risk-free sovereign debt. D.Credit spreads tend to be negatively correlated with interest rates.

解释：

Explanation: A is correct. The main reason that the return on corporate bonds tends to be persistently greater than the risk-free interest rate (which would be the case if the return attributable to credit spread was exactly offset by the loss rate) is that the default risk in bonds cannot be fully diversified away and therefore the portfolio is exposed to systematic risk that must be compensated for.

In other words, investors are compensated for the additional risk that a wave of defaults might occur all at once, although this does not happen during normal market conditions (and did not happen in the three-year period observed by the analyst). If defaults were truly independent one would expect the gap between credit spreads and loss rates to be much smaller.

B is incorrect. Credit spreads are determined by the market and fluctuate based on market perceptions. They can be higher or lower than loss rates, and often converge towards loss rates during times of crisis.

C is incorrect. Corporate bonds have less liquidity than risk-free sovereign debt, and the lower liquidity might be a contributing factor to the higher returns.

D is incorrect. This does not explain the relationship between returns and the loss rate.

Learning Objective: Evaluate the expected return from a bond investment and identify the components of the bond’s expected return.

Reference: Global Association of Risk Professionals, Financial Markets and Products (New York, NY: Pearson, 2023). Chapter 17. Corporate Bonds