问一道题：NO.PZ201812310200000304

* 问题详情，请查看题干

问题如下：

选项：

Based on Exhibit 1, the risk-neutral default probability for Bond I is closest to:

2.000%.

3.175%.

4.762%.

解释：

B is correct. The risk-neutral default probability, P*, is calculated using the current price, the expected receipt at maturity with no default (that is, 100 + 5 = 105), the expected receipt at maturity in the event of a default (that is, 0.40 × 105 = 42), and the risk-free rate of interest (0.03): 100=[105×(1-P^*)+(42×P^*)]/1.03
Solving for P* gives 0.031746, or 3.1746%.

这题不是给了POS=98%吗？不应该直接1-0.98吗

添加评论

1 个答案

吴昊_品职助教 · 2020年03月24日

这道题要我们求的是风险中性违约概率。风险中性违约概率和真实违约概率是不一样的概念。风险中性违约概率，是把风险考虑到分子的现金流中，分母用Rf折现，基于风险中性的定价思路，反求出的POD就是风险中性违约概率。这个违约概率不是我们通过真正的历史数据算出来的违约可能性，而是基于风险中性定价思路反求出的。而表格中给出的就是真实违约概率。

添加评论

1
回答
3
关注
682
浏览

我要回答关注问题

相关问题

NO.PZ201812310200000304问题如下Baseon Exhibit 1, the risk-neutrfault probability for BonI is closest to: A.2.000%. B.3.175%. C.4.762%.B is correct. The risk-neutrfault probability, P*, is calculateusing the current price, the expectereceipt maturity with no fault (this, 100 + 5 = 105), the expectereceipt maturity in the event of a fault (this, 0.40 × 105 = 42), anthe risk-free rate of interest (0.03): 100=[105×(1-P*)+(42×P*)]/1.03Solving for P* gives 0.031746, or 3.1746%.题目中的percentage of bonthservianmake full payment是什么意思？是po为什么

2023-03-29 22:05 1 · 回答

NO.PZ201812310200000304 3.175%. 4.762%. B is correct. The risk-neutrfault probability, P*, is calculateusing the current price, the expectereceipt maturity with no fault (this, 100 + 5 = 105), the expectereceipt maturity in the event of a fault (this, 0.40 × 105 = 42), anthe risk-free rate of interest (0.03): 100=[105×(1-P*)+(42×P*)]/1.03 Solving for P* gives 0.031746, or 3.1746%. 是用市场价格还是票面价值还是我们计算的fair value

2021-06-05 09:48 2 · 回答

老师您好，何老师在课上讲过这个计算其实是不要求掌握的，这个公式还得记么？

2020-11-27 21:25 1 · 回答

这个题老师讲过，但我不明白（1-98%）的PO根据公式反求的PO什么区别呢？或者说这两个完全是两个东西？

2020-02-10 20:15 3 · 回答

问一道题：NO.PZ201812310200000304

1 个答案

1

3

682

相关问题