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A junior credit risk analyst at a US firm is preparing a research report on the attributes and performance of corporate bonds. The analyst assesses corporate bond default rates, credit spread risk, recovery rates, and their impact on portfolio returns for a typical class of investment grade bonds. Which of the following statements would the analyst be correct to include in the report?
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.