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陈Shelly · 2022年01月28日

B选项

NO.PZ2021120102000027

问题如下:

Which of the following regarding the shape of the credit spreadcurve for high-yield issuers is most accurate?

选项:

A.

High-yield credit spread curves change shape more over the cyclethan investment-grade ones do and usually invert during the peak phase.

B.

Investors should exercise caution in interpreting credit spread curve shape for distressed debt issuers because their bonds tend to trade on a price rather than credit spread basis as the likelihood of default increases.

C.

High-yield credit spread curves often invert because of the empirical observation that DTS is the best way to measure high-yield bond price changes.

解释:

B is correct. Investors should exercise caution ininterpreting credit spread curve shape for distressed debt issuers because their bondstend to trade at a price close to the recoveryrate.

A is incorrect because the high-yield spread curve tends to invert during a contraction, while C isincorrect because a high-yield curve inversion is related to the relationshipbetween near-term and long-term default as opposed to DTS.

请问这个B选项是什么意思,它和答案描述的不一样的后半段的意思 我不理解

2 个答案

pzqa015 · 2022年02月13日

嗨,爱思考的PZer你好:


这是原版书上一个比较隐蔽的点,同学当结论记一下吧,在R14章节

相对于IG,HYB的POD对经济周期更敏感,对于破产证券,价格趋近于RR。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

pzqa015 · 2022年01月29日

嗨,努力学习的PZer你好:


B选项的意思是,投资者交易distressed debt bond,不用关注credit spread curve 的形状,因为这类债券通常用price报价和交易,而不是用credit spread报价和交易。这是结论要记住哈。

解析后半句的意思是distressed debt bond的价格通常锚定于违约后能够回收的金额,也就是recovery rate。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

李建强 · 2022年02月13日

这里不太懂,请问对应哪个知识点

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