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莉莉 · 2022年02月20日

请问这句话“The DM is the yield spread over the MRR established upon issuance to compensate investors for assuming an issuer’s credit risk.”哪里错了

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.

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

2 个答案

pzqa015 · 2022年03月10日

嗨,努力学习的PZer你好:


原版书没有具体讲,但可以理解为广义的spread,包含对credit risk以及liquidity risk的补偿。

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pzqa015 · 2022年02月20日

嗨,努力学习的PZer你好:


A选项说:DM是债券发行时,为了补偿投资者承担信用风险,而在MRR基础上给与投资者的一定风险补偿。这句话错就错在upon issuance(发行时)了,如果去掉established upon issuance,A选项是正确的。

下面区分一下QM与DM

QM:coupon=MRR+QM,代表的是浮动利率债发行时确定的spread,用来补偿投资者承担的credit,所以,A描述的是QM而不是DM。

DM:ytm=MRR+DM,代表的是投资者投资该只浮动利率债,获得的credit 补偿。DM与QM的除了一个代表coupon,一个代表折现率外,很重要的区别是QM限定了upon issuance时确定,而DM不限定何时确定。投资者可以是期初投资该只债券,那么此时DM=QM,也可以是浮动利率债发行后投资,对于债券发行后投资,如果发行主体风险变大,那么DM>QM,如果发行主体风险变小,那么DM<QM。

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BAiko · 2022年03月09日

A项所说的QM只包含了Credit risk吗?没有别的流动性之类么

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