NO.PZ2018120301000061
问题如下:
Wang is a fixed-income analyst based in London. About credit spread measures, Wang made the following statements:
Statement 1: G-spread, I-spread, and Z-spread are the measurements for credit spread.
Statement 2: From a portfolio construction perspective, the G-spread is useful because the calculation indicates a way to hedge the credit securities’ interest rate risk.
Statement 3: Advantage of I-spread is that swap curves may be "smoother" (less disjointed) than government bond yield curves.
According to the information above, which of the following is correct?
选项:
A. Statement 1 is wrong.
B. Statement 2 is wrong.
C. None of the statements is wrong.
解释:
C is correct
考点:各个Spread之间的比较
解析:三个Statement都是正确的。对于Statement 1,G-spread, I-spread, and Z-spread都是用来衡量Credit spread。对于Statement 2,当使用G-spread出现duration mismatch时,可以用两个不同期限国债的收益率按照线性差值法求出需要期限的国债收益率,然后再求Spread.对于Statement 3, I-spread使用的是Swap rate,swap curves有时比government bond yield curves更加平滑,因为有更多的期限。
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