问题如下:
Liz Parker is a junior quantitative analyst who is preparing a report dealing with credit migration. An excerpt of her report contains the following statements:
I. Future default probability will likely increase over time, especially for periods far into the future.
II. When computing the default probability of a counterparty under a risk-neutral measure, we need to first determine the actual default probability.
Which of Parker's statements is (are) correct?
选项:
A. I only.
B. II only.
C. Both I and II.
D. Neither I nor II.
解释:
D Future default probability will likely decrease over time, especially for periods far into the future. This is because of the higher likelihood that the default will have already occurred at some earlier point. In computing the default probability of a counterparty under a risk- neutral measure, one needs to compute the theoretical market-implied probability; the actual default probability applies under a real (historical) measure.
关于I的结论,上课时说过违约概率曲线是非单调递减函数,不是所有的违约概率都应该随着时间增加而增加吗?还是因为不知道它起初是投资级还是投机级,所以I错了?