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S.H · 2023年10月14日

信用转移矩阵是否能够反应违约概率？

  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。

信用转移矩阵不是只会反应变动的概率吗，我理解这个不是违约概率吧？还是说表格里面到D的概率就是违约概率？

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1 个答案

DD仔_品职助教 · 2023年10月16日

嗨，努力学习的PZer你好：


同学你好，

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。



----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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