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？
