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When a junior credit risk analyst at a US-based firm is preparing a research report on the characteristics and performance of corporate bonds, particularly focusing on investment grade bonds, and is examining factors such as default rates, credit spread risk, recovery rates, and their impacts on portfolio returns, which of the following statements would be appropriate to include?
A
The distribution of recovery rates of corporate issues is best described as a binomial distribution.
B
The size of a bond issuance is not empirically related to its recovery rates.
C
Measured over the same time period, US Treasury securities always outperform a portfolio of corporate bonds that experiences defaults.
D
Spread duration is best measured by the change in the corporate bond yield for a given 100 bp change in the Treasury rate.