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Pina · 2021年09月18日

倒挂的收益率曲线

NO.PZ2019011002000015

问题如下:

Li and Wang are two junior analysts in a wealth management company. In a discussion about the shape of credit curve, they made the following statements:

Li’s statement: Upward-sloping credit curves imply a greater likelihood of default in later years, whereas downward-sloping credit curves imply a greater probability of default in the earlier years.

Wang agrees with Li, and adds:

Wang’s statement: Downward-sloping curves are less common and often a result of severe near-term stress in the financial markets.

According to the information above, which statement is incorrect?

选项:

A.

Li’s statement is incorrect.

B.

Wang’s statement is incorrect.

C.

Neither of the statements is incorrect.

解释:

C is correct.

考点:Credit spread curve形状的理解

解析:

两个Statements都是正确的。一般来说Credit spread curve向上倾斜,代表着长期更大的违约可能;而向下倾斜,代表着短期更大的违约概率;因此Li的Statement正确。两种形状的Credit curve,更常见的是Upward-sloping的,向下倾斜的较少,代表着短期金融市场较大的风险。

老师好 credit curve 为什么不是只横轴是时间,综指是yield 的坐标? 考试的时候提credit curve 就是指credit spread curve 吗? 两者有没有区别?谢谢。

1 个答案

WallE_品职答疑助手 · 2021年09月19日

嗨,爱思考的PZer你好:


横轴是时间,纵轴是收益率。


后面您问的,是一个东西,没有区别。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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