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早睡早起快乐学习 · 2022年10月27日

这题给我看懵了

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033003000067

问题如下：

Jane is asked to calculate the risk-neutral and real-world default probabilities of the bond A. She collected the following datas. The market price of the bond A with a face value of 100 is 95. The liquidity premium and credit risk premium are 2% and 1% respectively. The coupon rate of newly issued treasury bond is 2.5%. The expected inflation is 0.8%.

选项：

Risk-neutral probability
Real-world probability
A.
Risk-neutral probability 2%
Real-world probability 5%
B.
Risk-neutral probability 5%
Real-world probability 2%
C.
Risk-neutral probability 5%
Real-world probability 4.2%
D.
Risk-neutral probability 4.2%
Real-world probability 5%

解释：

B is correct.

考点：Infer Credit Risk from Corporate Bond Prices

解析：risk-neutral default probability 100-95=5%

risk-neutral probability = real-world probability + credit risk premium + liquidity premium

real-world probability = 5% - 2%-1% = 2%

为啥100-95=5%算出来是risk-neutral default probability ？实在是想不明白，咋就是probability啦？

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1 个答案

pzqa27 · 2022年11月03日

嗨，爱思考的PZer你好：


风险中性PD的计算有点tricky，不过原版书也这么算的，所以算是协会默认了。。。直接用 100*(1-PD) = Market Value，得到PD（risk-neutral的）。忽略掉了用rf折现的那一步。

建议同学把这种risk-neutral PD 和 real-world PD对比的题目当成特殊题型来记，这种题型就不用考虑rf了。

其他题型除非题目说明，不然是要考虑的。

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