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黑仔豆仔 · 2019年05月04日

问一道题:NO.PZ2016082405000074

问题如下图:

    

选项:

A.

B.

C.

D.

解释:



老师好,请问settled recovery rate是哪个知识 ,跟actual RR 的关系是?

1 个答案
已采纳答案

品职答疑小助手雍 · 2019年05月04日

同学你好,这里直接理解就是settled rr是指模型里估计的rr,actual的就是实际发生违约时的rr。

D选项的意思是如果实际rr比预估的高,那实际的cva应该比按预估的rr估计(按acutal等于yug预估)的高。

但是应该是低,所以D错。

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