这一章中有一道题说的是Credit+、KMV、信用矩阵都没考虑 interest rate 和 credit spread呀？

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：

The term structure of interest rates

Rating drift

Spread risk

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。