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zjcjrd · 2019年03月09日

问一道题:NO.PZ2016082405000040 [ FRM II ]

请问这个知识点在书上哪里?问题如下图:

选项:

A.

B.

C.

D.

解释:

1 个答案

品职答疑小助手雍 · 2019年03月09日

同学你好,这个考点notes里提到过,关于implied correlation,具体如下,知识点比较偏,记一下结论即可。

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NO.PZ2016082405000040 Whiof the following statements best scribes the calculation of impliecorrelation? The impliecorrelation for the mezzanine tranche assumes non-constant pairwise correlation. Observable market prices of cret fault swaps are useto infer the tranche values. The tranche pricing function is calibrateto matthe mol priwith the market price. The risk-austefault probabilities are usein mol calibration. C Starting with observemarket prices ana pricing function for the tranches, it is possible to baout the impliecorrelation to calibrate the mol priwith the market price. The computation of impliecorrelation assumes constant pairwise correlation. Both cret fault swantranche values are observe Observetranche values are usein conjunction with risk-neutrfault probabilities to compute impliecorrelation. risk-neutrPrisk-austeP啥不同

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