CFA考试资料答案R32 The Term Structure and Interest Rate Dynamics - Answers.pdf

Question #1 of 80 Question ID: 1210218 Credit risk in the banking system is most accurately captured by the: A) 10-year swap spread. B) TED spread. C) I-spread. Explanation 7 3 2 Comparing the TED spread with the 10-year swap spread, the TED spread more accurately 1 q reects the risk in the banking system, while the 10-year swap spread mostly reects diering i supply and demand conditions. An I-spread refers to a bond yield net of the swap rate of the s same maturity. u m (Study Session 12, Module 32.4, LOS 32.i) : t a h