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.
The Z-DM will be above the DM if the MRR is expected to remain constant over time.
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.
选项A哪里错了?The DM is the yield spread over the MRR established upon issuance to compensate investors for assuming an issuer’s credit risk