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zjnhlm · 2022年03月15日

A选项是表达什么意思?没看懂~~~

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.

A选项是表达什么意思?没看懂~~~

1 个答案

pzqa015 · 2022年03月15日

嗨,爱思考的PZer你好:


这句话的意思是,DM是债券发行时,加在MRR上的spread,用来补偿投资者承担的信用风险。这里概念混淆了,发行时对投资者的补偿是QM而不是DM。DM并不强调是债券发行时加在MRR上的spread,在债券存续期,DM是随时改变的。二者的定义见下图。

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