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zhengyuan95 · 2017年09月01日

PZ2016082405000067

  1. FRM II



第一个为什么是8%，难道不考虑Rf嘛？ 公式不是 100*(1-π)/(1+Rf)=92么？

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张梵梵 · 2017年10月24日

同问这个问题，一直没有回答么？

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Shimin_CPA税法主讲、CFA教研 · 2017年11月08日

本题来源于notes。对于risk-neutral probability的计算，notes上原文是"ignore the time value of money"，所以计算简化为100*(1-p)+0*p=92, p=8%.

另外请注意，根据讲义的公式，分母上不是(1+Rf), 而是(1+YTM).

omegayin · 2018年11月06日

100*(1-π)/(1+Rf)=92为何分母应该是1+YTM？不是风险中性定价吗？

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NO.PZ2016082405000067 B The risk-neutrfault probability is approximately 8% because the market priis 92% of par. risk-neutrprobability = real-worlprobability + cret risk premium + liquity premium 8% = real-worlprobability + 2% + 1% real-worlprobability = 8% - 3% = 5% 可以具体下The risk-neutrfault probability is approximately 8% because the market priis 92% of par.么？ 如果按照讲义上的风险中性p计算方法如下，计算出来是5.7%，请问这个方式有什么问题么？ p=100(1-p/1+risk_free_rate 92=100*(1-p/1+0.025

2021-05-11 23:13 1 · 回答

NO.PZ2016082405000067 8%  5% 6%  8% 5%  6% B The risk-neutrfault probability is approximately 8% because the market priis 92% of par. risk-neutrprobability = real-worlprobability + cret risk premium + liquity premium 8% = real-worlprobability + 2% + 1% real-worlprobability = 8% - 3% = 5% 真实pπ这个规律可以直接使用吗

2021-03-27 12:02 1 · 回答

NO.PZ2016082405000067 B The risk-neutrfault probability is approximately 8% because the market priis 92% of par. risk-neutrprobability = real-worlprobability + cret risk premium + liquity premium 8% = real-worlprobability + 2% + 1% real-worlprobability = 8% - 3% = 5% 这里的real-worlP我理解用中性减掉LRP，但是为什么要减去CRP？CRP不是应该包括在真实世界P面吗？

2021-03-04 23:29 1 · 回答

B The risk-neutrfault probability is approximately 8% because the market priis 92% of par. risk-neutrprobability = real-worlprobability + cret risk premium + liquity premium 8% = real-worlprobability + 2% + 1% real-worlprobability = 8% - 3% = 5% 这个inflation rate只是一个干扰项吧？

2020-11-05 20:22 1 · 回答

B The risk-neutrfault probability is approximately 8% because the market priis 92% of par. risk-neutrprobability = real-worlprobability + cret risk premium + liquity premium 8% = real-worlprobability + 2% + 1% real-worlprobability = 8% - 3% = 5% 我的只能理解，中性定价里面，所有的sprea对CR进行补偿，这个时候CR大了，所以P，如果是objective的话， sprea止对CR进行补偿，还有别的东西，所以，P对就低了。就是扫一眼知道选B ， 还是不太明白你放的那个图，和这句话是怎么补偿的。讲道理RISK NATURP 1+3+2=6%,这个东西应该是sprea概念 如果套用这题，sprea 8%-2.5%=5.5%，如果是risk natur的话5.5%全部补偿CR了，再减去1%的流动性4.5%就是objective 但是这么硬算又找不到答案。。。

2020-10-14 19:45 1 · 回答