學(xué)同學(xué)
2025-03-07 22:33選項(xiàng)C中說(shuō)CDS利差通常是較差預(yù)測(cè)指標(biāo),那比CDS利差好的預(yù)測(cè)指標(biāo)有哪些?是否有比CDS利差更差的預(yù)測(cè)指標(biāo)?
所屬:FRM Part II > Credit Risk Measurement and Management 視頻位置 相關(guān)試題
來(lái)源: 視頻位置 相關(guān)試題
1個(gè)回答
楊玲琪助教
2025-03-10 12:50
該回答已被題主采納
同學(xué)你好,
原版書(shū)介紹的預(yù)測(cè)指標(biāo)有三個(gè),sovereign ratings,default spreads,CDS spreads。其中,CDS spreads是優(yōu)于sovereign ratings的(原文:Changes in CDS spreads lead changes in the sovereign bond yields and in sovereign ratings. Evidence is emerging that sovereign CDS spreads changes are better predictors of sovereign default events than sovereign ratings),而default spread和CDS spreads兩者間并沒(méi)有誰(shuí)優(yōu)誰(shuí)劣的明確結(jié)論(原文:However, there is little to indicate that it is superior to market default spreads (obtained from government bonds) in assessing this risk.)。
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