NO.PZ2020033003000068
问题如下:
Regarding the estimation of default probability, which of the following is not correct?
选项:
A.Risk-neutral probabilities of default are significantly larger than the real-world default probabilities by empirical evidence.
The theoretical basis of transition matrices is consistent with risk-neutral approach.
C.Hazard rates, also called the default intensity, measures the marginal conditional default probability.
D.A Transition matrices of probabilities reflects the historical probabilities of credit rating migration for a certain period.
解释:
B is correct.
考点:probabilities of default
解析:transition matrices的本质上和风险中性是不一样的,风险中性的核心在于未来获得收益的期望等于无风险利率。而transition matrices是在历史数据中总结违约概率,并没有提及未来期望获得无风险利率的假设。
![](https://qa-prod.oss-cn-beijing.aliyuncs.com/user-dir/stu_100921/EcjdeRy5Ad8wDGCCr7mPZiBmmAkSiQ4X_1694325893472.png)
老师这个是为什么呢?不应该是risk-neutral一般考虑的风险少吗