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Chasechoi · 2022年04月23日

C为什么对

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.

C为什么对

1 个答案
已采纳答案

pzqa015 · 2022年04月24日

嗨,从没放弃的小努力你好:



用于计算二者的收益率都是公司债ytm与国债ytm,即,公司债ytm-国债ytm。

区别是Gspread要求maturity match(不匹配的话对国债ytm进行差值),而yield spread不要求maturity match(找与公司债期限较近的国债ytm即可)。

所以,所以,如果国债ytm是flat(government benchmark yield curve is flat),那么各期限国债ytm都是相同的,那么Gspread插值后得到的maturity match的国债ytm与不插值的ytm相等,它也与公司债期限较劲的国债ytm相等,所以,Gspread=yield spread

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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