问题如下:
选项:
Based on Exhibit 1, the risk-neutral default probability for Bond I is closest to:
2.000%.
3.175%.
4.762%.
解释:
B is correct. The risk-neutral default probability, P*, is calculated using the current price, the expected receipt at maturity with no default (that is, 100 + 5 = 105), the expected receipt at maturity in the event of a default (that is, 0.40 × 105 = 42), and the risk-free rate of interest (0.03): 100=[105×(1-P*)+(42×P*)]/1.03
Solving for P* gives 0.031746, or 3.1746%.
这个题老师讲过,但我不明白(1-98%)的POD与根据公式反求的POD有什么区别呢?或者说这两个完全是两个东西?