问题
单项选择题
Which of the following statements concerning the arbitrage-free valuation of non-Treasury securities is TRUE The credit spread is:（）
A. only a function of the bond’s default risk.
B. only a function of the bond’s term to maturity.
C. a function of default risk and the term to maturity.
答案
参考答案：C
解析：
For valuing non-Treasury securities, a credit spread is added to each treasury spot yields. The credit spread is a function of default risk and the term to maturity.