问题如下图：
选项：
A. 
B. 
C. 
D. 
解释：
老师好，请问什么叫 “spread risk” ?
orange品职答疑助手 · 2019年05月14日
不好意思我这边看错了，这边说的是spread risk，而不是credit spread，这两者是两个东西。我把这边的spread risk看成是credit spread了。我说的解释是credit spread的解释，不是spread risk的。
credit spread就是指有信用风险的公司债与条件完全相同的国债的利息差，反应了公司债的信用风险。而spread risk，它是内涵在这个信用利差里面的风险，即，spread risk影响着credit spread，它是credit spread的uncertainty。
在我印象里，我们好像没怎么接触过spread risk，学有余力的情况下，把这个当成结论记一下就行了，即creditmetrics没有考虑到spread risk就完全足够了，考到的概率很小
zjcjrd · 2020年03月08日
老师，根据你这个说法，结合讲义341页，我觉得这题应该选A，讲义上说这几个模型都没有考虑interest rates and credit spread，credit spread和spread risk既然不一样，那就不应该炫C吧
NO.PZ2016082406000087 A bank computes the stribution of its loportfolio marketo-market value one yefrom now using the CretMetriapproaof computing values for rating transition outcomes using a rating agentransition matrix, current forwarcurves, ancorrelations among rating transition outcomes rivefrom storeturns of the obligors. In computing firm-wi risk using this stribution of its loportfolio, the bank is most likely to unrstate its risk because it ignores The term structure of interest rates Rating ift Sprerisk The negative correlation between the Treasury rates ancret sprea ANSWER: C CretMetriignores sprerisk. It es account for rating ift anthe term structure of interest rates, albeit not their volatility. 1.为什么rf和cret sprea负相关呢？ 2.KMV,CRETRISK+,CRETMETRICS都不考虑sprerisk对吗？
A bank computes the stribution of its loportfolio marketo-market value one yefrom now using the CretMetriapproaof computing values for rating transition outcomes using a rating agentransition matrix, current forwarcurves, ancorrelations among rating transition outcomes rivefrom storeturns of the obligors. In computing firm-wi risk using this stribution of its loportfolio, the bank is most likely to unrstate its risk because it ignores The term structure of interest rates Rating ift Sprerisk The negative correlation between the Treasury rates ancret sprea ANSWER: C CretMetriignores sprerisk. It es account for rating ift anthe term structure of interest rates, albeit not their volatility. 老师好，这道题的答案是CretMetrimol没有考虑sprerisk, 题库里的NO.PZ2016082406000086这道题的是CretMetrimol考虑了cret sprea而题库里NO.PZ2016082406000092这道题的答案又说KMV, CretMetrics, CretRisk +都没有考虑interst rates or cret sprea? 感觉86题和92题是互相矛盾的。 能否请老师把KMV, CretMetrics, CretRisk +， Cret Portfolio View这四个模型分别都考虑了哪些因素做个总结？感觉基础课上讲的也不是很清楚，做题的时候还遇到了好几道这样的题目。
A bank computes the stribution of its loportfolio marketo-market value one yefrom now using the CretMetriapproaof computing values for rating transition outcomes using a rating agentransition matrix, current forwarcurves, ancorrelations among rating transition outcomes rivefrom storeturns of the obligors. In computing firm-wi risk using this stribution of its loportfolio, the bank is most likely to unrstate its risk because it ignores The term structure of interest rates Rating ift Sprerisk The negative correlation between the Treasury rates ancret sprea ANSWER: C CretMetriignores sprerisk. It es account for rating ift anthe term structure of interest rates, albeit not their volatility. 什么是rating ift
第五题和第六题是不是矛盾了，第五题问哪个因素没被crecretmetrmetrics考虑，选择了equity price（当时里有cret sprea，第六题又说ignore sprerisk