邵同學(xué)
2024-02-14 09:24老師您好，請問credit rating migration can cause spread risk to become realized.這句話啥意思。With respect to risk considerations for investment-grade bonds, Larent is most likely correct with respect to spread risk. Spread risk is a function of credit migration. For investment-grade bonds, the risk of credit rating migration (credit deterioration) is greater than the risk of actual credit loss. Accordingly, credit spread volatility, as opposed to outright credit default loss, is a more relevant consideration as it relates to investment-grade bonds. Spread duration measures the credit spread volatility risk in a portfolio of investment-grade bonds.
所屬：CFA Level III > Derivatives and Currency Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個(gè)回答
Simon助教
2024-02-14 13:06
該回答已被題主采納
同學(xué)，上午好。
credit rating migration can cause spread risk to become realized含義：credit rating migration是指發(fā)行人的評級向上或向下遷徙，會(huì)導(dǎo)致債券的spread變化，進(jìn)而引起價(jià)格變化，這部分價(jià)格變化就是spread risk導(dǎo)致的。
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