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小爽加油呀 · 2023年03月11日

老师，这题c没看明白

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033002000022

问题如下：

Which of the following pieces of information is not included in the credit transition matrices?

选项：

A.

The probability of the company's credit rating being downgraded from AA to BB within five years.

B.

Change in bond prices after credit rating downgrade from BB to BBB.

C.

Probability of default on bonds with a credit rating of B.

D.

Probability of conversion of high-yield bonds to investment-grade bonds.

解释：

B is correct.

考点：Credit Transition Matrices

解析：Credit Transition Matrices并不反应价格信息。

麻烦讲解一下为什么不对，谢谢

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1 个答案

DD仔_品职助教 · 2023年03月12日

嗨，爱思考的PZer你好：


同学你好，

题目问信用转移矩阵不会反映那些信息？

C说的是B评级债券的违约概率。下图是一个信用转移矩阵的例子，很明显可以看出B评级的债券在期限等于1时的违约概率是5.2%，期限等于2 的时候是11%，所以C选项是转移矩阵会包含的信息，所以不选C。

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加油吧，让我们一起遇见更好的自己！

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