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zjcjrd · 2019年08月27日

问一道题:NO.PZ2016082406000087

问题如下图:第五题和第六题是不是矛盾了,第五题问哪个因素没被credicreditmetrmetrics考虑,选择了equity price(当时选项里有credit spread),第六题又说ignore  spread risk

    

选项:

A.

B.

C.

D.

解释:



1 个答案

orange品职答疑助手 · 2019年08月28日

同学你好,其实不矛盾。spread risk是指,因为有风险资产价格变动,所带来loss的风险。而credit spread是指信用利差。这个考的太细了,有点偏,我也搜了notes现在也不在notes的课后题里了,建议同学把这两题当成知识点记忆一下即可,不用纠结~


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