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Dorothy · 2020年02月16日

问一道题：NO.PZ2016082405000067

  1. FRM II
  2. Credit Risk Measurement And Management

问题如下：

Based on the following information, what are the the risk-neutral and real-world default probabilities?

•     Market price of bond is 92.

•     Liquidity premium is 1%.

•     Credit risk premium is 2%.

•     Risk-free rate is 2.5%.

•     Expected inflation is 1.5%.

•     Recovery rate is 0%.

选项：

Risk-neutral probability
Real-world probability
A.
5% 
8%
B.
8% 
5%
C.
6% 
8%
D.
5% 
6%

解释：

B The risk-neutral default probability is approximately 8% because the market price is 92% of par.

risk-neutral probability = real-world probability + credit risk premium + liquidity premium

8% = real-world probability + 2% + 1%

real-world probability = 8% - 3% = 5%

另外，老师上课讲的，流动性风险和信用风险的补偿是在无风险利率基础上进行补偿，为什么题目答案直接在PD上扣减流动性和喜用风险补偿?

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1 个答案

品职答疑小助手雍 · 2020年02月16日

同学你好，这题因为都假设LGD是100%（RR是0%），所以可以直接在PD上加减。

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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