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410140980 · 2023年07月18日

credit rating transition

  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。

老师信用评级转移矩阵只反应评级变化，违约概率变化这两个信息吧？

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1 个答案

品职答疑小助手雍 · 2023年07月18日

同学你好，对的，所以只有B选项说的价格是不包含在里面的。

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