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中二 · 2020年03月16日

问一道题：NO.PZ2016082405000040 [ FRM II ]

  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.

B和C的区别请问在哪里呢？只知道隐含的相关系数需要通过市场价格反求，但是这两个选项都提到了市场价格，具体怎么判断呢？

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2 个答案

ysr1990 · 2020年06月03日

不就是从observed market price反推的吗？

袁园_品职助教 · 2020年03月17日

同学你好！

题目问怎么算 implied correlation，选项 B 回答 我们用从市场观察到的CDS的价格来推算tranche的价值，这句话是不对的

C 的意思是通过market price来倒推 implied correlation

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