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阿44 · 2018年09月26日

问一道题:NO.PZ2016082405000030 [ FRM II ]

问题如下图:

选项:

A.

B.

C.

D.

解释:

这题是不是应该选B而不是C?另外想问一下什么是near-term slope?

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已采纳答案

orange品职答疑助手 · 2018年09月26日

答案选C,问的是累计违约概率的图形,它是单调非减的。near term表示短期、近期,和short-term类似。所以near term slope即短期的违约概率的斜率的意思。因为1年期(本题中的最短期)的spreads最贵,所以近期的违约概率是最高的,所以它在近期的斜率应该是最高的

阿44 · 2018年09月26日

可是解析第一句说的是downward 啊

orange品职答疑助手 · 2018年09月27日

那个是CDS spreads的cruve,和题目问的default distribution不相干呀

zjcjrd · 2020年03月06日

老师,你说题目default distribution和spread curve不相干,但是问slope的时候又考虑的是spread curve的样子

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NO.PZ2016082405000030 analyst is stuing the C sprecurve for establishecompany. The 1-, 3- an5-yesprea are 400 bps, 200 bps, an150 bps, respectively. Whiof the following interpretations of the ta is most likely correfor the shape of the fault stribution? fault stribution Near-Term Slope Upwarsloping   flslope wnwarsloping steep slope Upwarsloping steep slope wnwarsloping flslope C The C sprea incate a wnwarsloping sprecurve. Note ththe cumulative stribution of fault is always increasing regaress of the slope of the sprecurve. In aition, sinthe short-term probability of fault is relatively high, the slope in the neterm of the fault stribution function is relatively steep. 题目也没有说是问cumulative啊,我理解撑了marginfault stribution不行么

2021-05-04 12:34 1 · 回答

NO.PZ2016082405000030 wnwarsloping steep slope Upwarsloping steep slope wnwarsloping flslope C The C sprea incate a wnwarsloping sprecurve. Note ththe cumulative stribution of fault is always increasing regaress of the slope of the sprecurve. In aition, sinthe short-term probability of fault is relatively high, the slope in the neterm of the fault stribution function is relatively steep. 不懂这题考的是什么??求详细解答

2021-03-27 14:35 1 · 回答

wnwarsloping steep slope Upwarsloping steep slope wnwarsloping flslope C The C sprea incate a wnwarsloping sprecurve. Note ththe cumulative stribution of fault is always increasing regaress of the slope of the sprecurve. In aition, sinthe short-term probability of fault is relatively high, the slope in the neterm of the fault stribution function is relatively steep. Sprea来越小不是应该越来越平缓吗?

2021-02-07 11:46 2 · 回答

analyst is stuing the C sprecurve for establishecompany. The 1-, 3- an5-yesprea are 400 bps, 200 bps, an150 bps, respectively. Whiof the following interpretations of the ta is most likely correfor the shape of the fault stribution? fault stribution Near-Term Slope Upwarsloping   flslope wnwarsloping steep slope Upwarsloping steep slope wnwarsloping flslope C The C sprea incate a wnwarsloping sprecurve. Note ththe cumulative stribution of fault is always increasing regaress of the slope of the sprecurve. In aition, sinthe short-term probability of fault is relatively high, the slope in the neterm of the fault stribution function is relatively steep. 老师看答案的,还是觉得是b哇,讲义中纵轴就是fault stribution 啊

2020-03-07 10:58 1 · 回答

老师,这个题目为啥是看累计分布?题目也没说啊

2019-10-19 01:00 1 · 回答