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梦梦 · 2024年08月26日

recoveray rate 服从什么分布?

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

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品职答疑小助手雍 · 2024年08月27日

嗨,从没放弃的小努力你好:


你说的没错。

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努力的时光都是限量版,加油!

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