NO.PZ2020033002000087
问题如下:
In CreditMetrics approach, various factors are used to compute values. However, the risk is most likely to be overestimated if which of the following is ignored?
选项:
A. The
term structure of interest rates
B. Rating
drift
C. Spread
risk
D. The
negative correlation between the Treasury rates and credit spreads
解释:
D is correct.
考点:CreditMetrics
解析:
Rf 和 spread 通常会呈现负相关,这样,实际上来说会使信用债收益率的变化幅度更小,即评估出来的风险会低一些,相反的忽略这个条件会高估风险。
这题完全没头绪,一看到就懵