NO.PZ2019052801000105
问题如下：
With respect to default risk and credit spread risk, the ratings of bond-rating agencies such as Moody’s provide information concerning:
选项： default risk only.
credit spread risk only.
C.both default risk and credit spread risk.
D.neither default risk nor credit spread risk.
解释：
A is correct.
Bond rating agencies issue ratings based on the default risk of the issue. Credit spread risk is determined by spread duration.
讲义中提到“Yield spread over treasury bonds correlate highly with ratings”，意思不就是说yield spread会影响评级吗？反向关系，spread 越大，评级越低。但是本题不选credit spread risk 的原因是不是因为，这个risk 主要受宏观经济因素影响，所以反过来评级机构评级并不参考这个spread
