Which of the following is FALSE regarding spread duration? A Spread duration is an alternative measure to duration times spread used to measure exposure to a change in credit spreads. B As long as the change in rates or spreads are in parallel shifts, the approximate duration and the approximate spread duration are the same for vanilla bonds. C Spread duration is the sensitivity of a bond, bond sector, or bond portfolio to a parallel shift in credit spreads. D Empirical evidence suggest that there is at times an direct correlation between the change in the level of Treasury yields and the change in credit spreads.
Which of the following is FALSE regarding spread duration? A Spread duration is an alternative measure to duration times spread used to measure exposure to a change in credit spreads. B As long as the change in rates or spreads are in parallel shifts, the approximate duration and the approximate spread duration are the same for vanilla bonds. C Spread duration is the sensitivity of a bond, bond sector, or bond portfolio to a parallel shift in credit spreads. D Empirical evidence suggest that there is at times an direct correlation between the change in the level of Treasury yields and the change in credit spreads.
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
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Transcribed Image Text:Which of the following is FALSE regarding spread duration?
A Spread duration is an alternative measure to duration times spread used to measure exposure to a change in
credit spreads.
B As long as the change in rates or spreads are in parallel shifts, the approximate duration and the approximate
spread duration are the same for vanilla bonds.
C Spread duration is the sensitivity of a bond, bond sector, or bond portfolio to a parallel shift in credit spreads.
D Empirical evidence suggest that there is at times an direct correlation between the change in the level of
Treasury yields and the change in credit spreads.
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