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如此_AnnieCcc · 2021年02月15日

credit-spread我能否理解为credit-risk？

  1. CFA I
  2. Fixed Income

NO.PZ2016031001000133

问题如下：

A manufacturing company receives a ratings upgrade and the price increases on its fixed-rate bond. The price increase was most likely caused by a(n):

选项：

A.

decrease in the bond’s credit spread.

B.

increase in the bond’s liquidity spread.

C.

increase of the bond’s underlying benchmark rate.

解释：

A is correct.

The price increase was most likely caused by a decrease in the bond’s credit spread. The ratings upgrade most likely reflects a lower expected probability of default and/or a greater level of recovery of assets if default occurs. The decrease in credit risk results in a smaller credit spread. The increase in the bond price reflects a decrease in the yield-to maturity due to a smaller credit spread. The change in the bond price was not due to a change in liquidity risk or an increase in the benchmark rate.

这道题price上升（卖的贵了）是不是这个债券的coupon-rate就会下降？

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1 个答案

吴昊_品职助教 · 2021年02月16日

同学你好：

题干中有fixed-rate bond，说明债券是固定利率债券，不存在你说的coupon rate会调整的情况。决定一个债券价格的除了分子还有分母，现在分子不变，说明是分母在变化。分母变小，也会导致债券价格上涨。B和C都是使得分母变大的因素，因此不选。

由于债券评级upgrade，说明credit risk变小，所给的为了cover credit risk的credit spread就变小。可以简单将credit spread和credit risk联系在一起，因为它们是同向变化的。

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