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silviaws · 2020年03月03日

问一道题:NO.PZ201812020100001101

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问题如下:

A benefit of Easton’s preferred credit spread measure is that it:

选项:

A.

provides a good measure of credit spread for bonds with optionality.

B.

uses swap rates denominated in the same currency as the credit security.

C.

reduces the potential for duration mismatch.

解释:

C is correct.

The G-spread is the spread over an actual or interpolated benchmark (usually government) bond. A benefit of the G-spread is that when the duration of the credit security differs from that of the benchmark bond, the yields of two government bonds can be weighted so that their weighted average duration matches the credit security’s duration.

这个G-spread的benefit老师可以再解释下吗?

1 个答案

WallE_品职答疑助手 · 2020年03月03日

同学你好,

1.通过计算过程找到一个duration match的portfolio来match interest rate risk.

2.一个国债收益率的改变,会对公司债的价格产生的影响

具体G spread的好处你也可以听一下强化课讲义的第39页。