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dididididi · 2020年03月17日

问一道题:NO.PZ2018062006000151 [ CFA I ]

问题如下:

Which of the following is the most appropriate description of loss given default?

选项:

A.

Probability that a borrower fails to meet its obligation to make full and timely payments of principal and interest.

B.

The percentage of the principal amount recovered in the event of default.

C.

Portion of a bond's value (unpaid interest is included) an investor loses if the borrower defaults.

解释:

C is correct.

Loss severity, or loss given default, is the portion of a bond's value (unpaid interest is included) an investor loses if the borrower defaults. A is the definition of default probability, B is the definition of recovery rate.

可以解释下每个选项的意思吗?谢谢~
1 个答案
已采纳答案

吴昊_品职助教 · 2020年03月17日

A选项描述的是违约概率,default probability;B选项描述的recovery rate,一旦违约可以收回的部分;C选项描述的是LGD,一旦违约的损失。基础班讲义P331页。

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