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treepple · 2021年07月04日

There is severe near-term stress in the financial markets and UNAB's credit curve clearly reflects the difficult environment.

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NO.PZ201701230200000602

问题如下:

2. According to Watt’s statement, the shape of UNAB’s credit curve is most likely:

选项:

A.

flat.

B.

upward-sloping.

C.

downward-sloping.

解释:

C is correct.

A downward-sloping credit curve implies a greater probability of default in the earlier years than in the later years. Downward-sloping curves are less common and often are the result of severe near-term stress in the financial markets.

A is incorrect because a flat credit curve implies a constant hazard rate (relevant probability of default). B is incorrect because an upward-sloping credit curve implies a greater probability of default in later years.

最后一句话是表示什么意思?

1 个答案
已采纳答案

WallE_品职答疑助手 · 2021年07月07日

嗨,从没放弃的小努力你好:


金融市场近期面临严重压力,UNAB的信贷曲线清楚地反映了困难的环境。


金融危机的时候很多公司破产,公司债券违约,那么近端的风险 比远端要大,所以近端的credit spread给的更大,所以信用风险曲线是向下倾斜的。UNAB的信贷曲线清楚地反映了困难的环境 就是反应向下倾斜的曲线。

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相关问题

NO.PZ201701230200000602 问题如下 2. Accorng to Watt’s statement, the shape of UNAB’s cret curve is most likely: A.flat. B.upwarsloping. C.wnwarsloping. C is correct.A wnwarsloping cret curve implies a greater probability of fault in the earlier years thin the later years. wnwarsloping curves are less common anoften are the result of severe near-term stress in the financimarkets.A is incorrebecause a flcret curve implies a constant hazarrate (relevant probability of fault). B is incorrebecause upwarsloping cret curve implies a greater probability of fault in later years. 如果是一个正常的情况,曲线应该是上升的,就是时间越远不确定的因素越大,流动性越小,所以是upwarsloping,人们需要更强多的补偿。但这里是near-term crisis,所以就是近期发生风险的概率打,然后人们需要的补偿多,所以就是近期的补偿会高于远期,然后就是wnwarsloing。

2023-03-06 10:05 1 · 回答

老师,您好!这道题我确实知道了短期违约风险上升,但是为何cret curve是向下呢?请问基础班对应的知识点在哪里?谢谢!

2019-05-05 10:54 1 · 回答

    老师,A如果改成  flatter,是不是就对了呢?我是这么想的,我认为,一般情况下cret curve是向上倾斜的(即长期的cret sprea于短期的cret sprea,既然短期的经济不好违约概率提升,相当于短期的cret sprea升,在图上表现为短端向上,曲线变更flat了。但是不能知道是不是变成了wnwar-sloping。这是我想的。但是答案很明显是理解fl为“全线是水平”对吗?应该怎么理解?我的误区在哪里?

2019-03-01 00:49 1 · 回答