问题如下：
Thames reminds Cromwell that her model assumes zero interest rate volatility and a flat government yield curve. Cromwell responds that Thames should relax these unrealistic assumptions. Thames outlines the steps to take in valuing risky bonds under this scenario in Exhibit 1.
EXHIBIT 1 STEPS IN VALUING RISKY BONDS, ARBITRAGE-FREE FRAMEWORK
Which step in Exhibit 1 regarding valuing risky bonds has Thames most likely outlined correctly?
选项：
A.Step 1.
Step 2.
C.Step 3.
解释：
Thames is correct in describing Step 3 but incorrect about both Step 1 and Step 2.
The third point in
Step 1 is explained incorrectly. The par curve where each bond is priced at par
value, not the spot curve, is used to derive implied zero-coupon rates. In the
second point of Step 2, she is incorrect regarding the recovery rate. The
assumption is not based on credit ratings. The recovery rate if default were to
occur should conform to the seniority of the debt issue and the nature of the
issuer’s assets. For instance, a firm with a high ratio of assets relative to
the debt level and debt senior in the capital structure will result in a higher
recovery for bondholders than one with the reverse situation.
为什么step 1有错误（用spot rate来derive不可以吗）？
