开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

蕾 · 2024年01月11日

请解释A和B选项

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.

请解释A和B选项

1 个答案

pzqa015 · 2024年01月12日

嗨,努力学习的PZer你好:


The DM is the yield spread over the MRR established upon issuance to compensate investors for assuming an issuer’s credit risk.

--

这句话描述的是QM而不是DM,QM是加在分子现金流上的spread,是发行时,为了让面值=100,根据spread确定的,也就是upon issuance,DM再发行后是变化的,反映发行人信用质量的变化,所以,DM不是upon issuance时确定的,所以A表述错误。


The Z-DM will be above the DM if the MRR is expected to remain constant over time.

--

DM与QM公式如下

如果MRR expected to remian constant,那么第二张图中的z2,...zN都等于MRR,同时,两张图计算的P也是相等的,所以,ZDM是等于DM的。

----------------------------------------------
就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

  • 1

    回答
  • 1

    关注
  • 217

    浏览
相关问题

NO.PZ2021120102000015 问题如下 Whiof the followingstatements about cret spremeasures is most accurate? A.The is the yielspreover the MRR establisheupon issuanceto compensate investors for assuming issuer’s cret risk. B.The Z- will above the if the MRR is expecteto remain constant over time. C.The yielsprefor a corporate bonwill equto the G-spreif the government benchmark yielcurve is flat. Cis correct.Theyielspreis the simple fferenbetween a bons all-in YTM ana current on-the-run governmentbonof similmaturity, while the G-spreisinterpolation of government benchmark yiel. If the government bonyielurve is flat, these two measures will equone another. 这道题A哪里错了

2024-01-12 16:32 2 · 回答

NO.PZ2021120102000015 问题如下 Whiof the followingstatements about cret spremeasures is most accurate? A.The is the yielspreover the MRR establisheupon issuanceto compensate investors for assuming issuer’s cret risk. B.The Z- will above the if the MRR is expecteto remain constant over time. C.The yielsprefor a corporate bonwill equto the G-spreif the government benchmark yielcurve is flat. Cis correct.Theyielspreis the simple fferenbetween a bons all-in YTM ana current on-the-run governmentbonof similmaturity, while the G-spreisinterpolation of government benchmark yiel. If the government bonyielurve is flat, these two measures will equone another. BThe Z- will above the if the MRR is expecteto remain constant over time. 如果MRR是MRR is expecteto remain constant over time. Z- 应该是below ,因为这里的constant不代表flat吧

2023-11-27 14:35 3 · 回答

NO.PZ2021120102000015 问题如下 Whiof the followingstatements about cret spremeasures is most accurate? A.The is the yielspreover the MRR establisheupon issuanceto compensate investors for assuming issuer’s cret risk. B.The Z- will above the if the MRR is expecteto remain constant over time. C.The yielsprefor a corporate bonwill equto the G-spreif the government benchmark yielcurve is flat. Cis correct.Theyielspreis the simple fferenbetween a bons all-in YTM ana current on-the-run governmentbonof similmaturity, while the G-spreisinterpolation of government benchmark yiel. If the government bonyielurve is flat, these two measures will equone another. The Z- will above the same the if the MRR is expecteto remain constant over time.这样对吗

2023-08-29 21:19 2 · 回答

NO.PZ2021120102000015问题如下 Whiof the followingstatements about cret spremeasures is most accurate? A.The is the yielspreover the MRR establisheupon issuanceto compensate investors for assuming issuer’s cret risk.B.The Z- will above the if the MRR is expecteto remain constant over time.C.The yielsprefor a corporate bonwill equto the G-spreif the government benchmark yielcurve is flat. Cis correct.Theyielspreis the simple fferenbetween a bons all-in YTM ana current on-the-run governmentbonof similmaturity, while the G-spreisinterpolation of government benchmark yiel. If the government bonyielurve is flat, these two measures will equone another. 不明白C为什么是对的

2023-04-27 22:21 2 · 回答