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pz-stepsutake · 2020年02月28日

问一道题：NO.PZ2016082405000040 implied correlation

  1. FRM II
  2. Credit Risk Measurement And Management

问题如下：

Which of the following statements best describes the calculation of implied correlation?

选项：

A.

The implied correlation for the mezzanine tranche assumes non-constant pairwise correlation.

B.

Observable market prices of credit default swaps are used to infer the tranche values.

C.

The tranche pricing function is calibrated to match the model price with the market price.

D.

The risk-adjusted default probabilities are used in model calibration.

解释：

C Starting with observed market prices and a pricing function for the tranches, it is possible to back out the implied correlation to calibrate the model price with the market price. The computation of implied correlation assumes constant pairwise correlation. Both credit default swap and tranche values are observed. Observed tranche values are used in conjunction with risk-neutral default probabilities to compute implied correlation.

请问选项C是什么意思。讲义474页，是给定市场价格，PD，定价函数，去计算implied correlation的

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1 个答案

品职答疑小助手雍 · 2020年02月28日

同学你好，C的意思是通过market price和一些其他参数（PD等等）来倒挤implied correlation，和474页一个意思。

就像那BSM模型倒算implied volatility一样。

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