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S.H · 2023年10月15日

请问通胀率不需要考虑吗？什么时候需要考虑呢？

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033003000067

问题如下：

Jane is asked to calculate the risk-neutral and real-world default probabilities of the bond A. She collected the following datas. The market price of the bond A with a face value of 100 is 95. The liquidity premium and credit risk premium are 2% and 1% respectively. The coupon rate of newly issued treasury bond is 2.5%. The expected inflation is 0.8%.

选项：

Risk-neutral probability
Real-world probability
A.
Risk-neutral probability 2%
Real-world probability 5%
B.
Risk-neutral probability 5%
Real-world probability 2%
C.
Risk-neutral probability 5%
Real-world probability 4.2%
D.
Risk-neutral probability 4.2%
Real-world probability 5%

解释：

B is correct.

考点：Infer Credit Risk from Corporate Bond Prices

解析：risk-neutral default probability 100-95=5%

risk-neutral probability = real-world probability + credit risk premium + liquidity premium

real-world probability = 5% - 2%-1% = 2%

题目中的2.5%和0.8%什么时候需要考虑？

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1 个答案

DD仔_品职助教 · 2023年10月17日

嗨，爱思考的PZer你好：


同学你好，

通胀率是干扰信息，在计算的时候不需要考虑的。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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