NO.PZ2023091701000166
问题如下:
A risk manager on the corporate bond desk at an investment company is explaining the important metrics used to measure and manage the risks of bonds to a group of newly hired analysts. The manager describes the concepts of recovery rates and default rates. Which of the following statements is correct for the manager to make?
选项:
A.
Recovery rates follow lognormal distribution with a single mode, shaped by differences in the seniority levels among bonds from the same issuer.
B.The issuer default rate relates the number of bonds that a specific issuer has defaulted on to the total number of bonds outstanding from this issuer.
C.Recovery rates used in financial analysis are typically calculated as the post-liquidation amount of principal retained by issuers.
D.The dollar default rate uses par values to measure the value of bonds that have defaulted as a percentage of the total value of outstanding bonds.
解释:
D is correct. The dollar default rate is given by the total par value of bonds that have defaulted in a given year divided by the total par value of all outstanding bonds.
A is incorrect. The distribution of recovery rates is bimodal. The bimodal distribution of recovery rates arises due to the different seniority levels among bonds.
B is incorrect. The issuer default rate measures the number of defaults in the market divided by the total number of issues outstanding. This is not related to any specific issuer.
C is incorrect. Because it is difficult to track the value of what is eventually received by claimants in the event of a default, the recovery rate is calculated as the value of the bond a few days after default as a percentage of its par value.
老师好,recoveray rate 服从lognormal,这里的表述也是错的吧?双峰分布就是双峰分布,不是lognormal 也不是normal