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Normy · 2022年01月05日

关于B选项

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000015

问题如下：

Which of the following statements about credit spread measures is most accurate?

选项：

A.

The DM is the yield spread over the MRR established upon issuance to compensate investors for assuming an issuer’s credit risk.

B.

The Z-DM will be above the DM if the MRR is expected to remain constant over time.

C.

The yield spread for a corporate bond will be equal to the G-spread if the government benchmark yield curve is flat.

解释：

C is correct.

The yield spread is the simple difference between a bond’s all-in YTM and a current on-the-run government bond of similar maturity, while the G-spread is an interpolation of government benchmark yields. If the government bond yield curve is flat, these two measures will equal one another.

B选项是不是 应该是相同的两个 因为MRR都是一样的

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已采纳答案

pzqa015 · 2022年01月05日

嗨，努力学习的PZer你好：


是的，如果MRR是constant，也就是不同期限的MRR值一样，那么Z-DM=DM

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