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ziyue · 2020年02月26日

问一道题:NO.PZ2019011002000011

问题如下:

Li and Wang are two junior credit analysts in a wealth management firm. During a meeting with their supervisor, they made the following statements about the term structure of credit spread:

Li’ statement 1: A credit curve shows the spread over a benchmark security for an issuer for outstanding fixed-income securities with shorter to longer maturities.

Li’ statement 2: Flat credit spread curves imply a relatively stable expectation of default over time, while an upward-sloping credit curve implies that investors seek greater compensation for assuming issuer default over longer periods. 

Wang agrees with Li’s statements, and Wang adds:

Wang’s statement 1: Securities with lower credit quality face greater sensitivity to the credit cycle.

Wang’s statement 2: High-yield issuers only face an upward-sloping credit term structure.

According to the information above, which of the following is correct?

选项:

A.

Li’ statement 2 is incorrect.

B.

Wang’s statement 1 is incorrect.

C.

Wang’s statement 2 is incorrect.

解释:

C is correct.

考点:Credit curve的理解。

解析:

Wang的Statement 2是错误的,其他的Statements都是正确的,且为讲义总结结论。对于Wang的Statement 2,High-yield issuer因为一些特殊的原因有时候也开会面临Downward的credit spread curve,例如在公司的杠杆收购后,投资者预期公司新的股东、管理层会为公司带来更好的经营结果,于是长期的Credit spread可以是较低的。

Wang's Statement 1 为什么是对的呢

2 个答案
已采纳答案

吴昊_品职助教 · 2020年02月26日

具体知识点参考基础班讲义P242。credit cycle,信用周期取决于宏观经济的状况。宏观经济状况较好时,整个市场的信用状况会变好。宏观经济变差的时候,整个市场的违约可能性上升,整体信用状况变差。所以信用周期其实等价于经济周期。信用质量较低的债券其实就是垃圾债,在经济状况好的时候,好公司坏公司不会有明显的差别。而在经济状况不好的时候,首先违约的就是信用质量不好的垃圾债,因此垃圾债对于经济周期更加敏感一些。这个知识点可以当一个结论记忆一下。

pourquoi · 2020年03月22日

With lower credit quality 就是 high yield bond啊,可以upward/downward,但都会更陡峭(steep)

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2023-08-05 11:29 1 · 回答

NO.PZ2019011002000011 如题~谢谢老师

2021-06-19 14:36 1 · 回答

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2021-05-02 09:54 1 · 回答