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erin_hi1990 · 2023年06月27日

为什么不能参考表格内的98%?

NO.PZ2023040701000089

问题如下:

Bonds I have a maturity of one year, an annual coupon rate of 5%, and a market price equal to par value. The risk-free rate is 3%. Historical default experiences of bonds are presented in Exhibit 1.

Exhibit 1 Credit Risk Information for Comparable Bonds

Based on Exhibit 1, the risk-neutral default probability for Bond I is closest to:

选项:

A.

2.000%.

B.

3.175%.

C.

4.762%.

解释:

Correct Answer: B

The risk-neutral default probability, P*, is calculated using the current price, the expected receipt at maturity with no default (that is, 100 + 5 = 105), the expected receipt at maturity in the event of a default (that is, 0.40 × 105 = 42), and the risk-free rate of interest (0.03)

Solving for P* gives 0.031746, or 3.1746%.

按表格内的98%违约概率是2%。为什么不能参考这个数字?是因为不是risk neutural吗?

1 个答案

pzqa015 · 2023年06月28日

嗨,努力学习的PZer你好:


是的,表格内的不是risk neutral POD,是actual POD.

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虽然现在很辛苦,但努力过的感觉真的很好,加油!