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holicess · 2020年05月21日

问一道题:NO.PZ2016082405000025

问题如下:

Which of the following statements regarding ratings transition matrices is least correct?

选项:

A.

Transition matrices assess rating migrations, that is, the probability that a company starting with a particular rating will be downgraded within the stated period.

B.

The diagonal elements in the transition matrix beginning at the top left show the probability of ending the year with an unchanged rating.

C.

Within a transition matrix, there is no transition from default to another rating.

D.

The probability of a rating migration is higher for lower rated companies.

解释:

A Transition matrices assess the probability that a company’s rating will remain unchanged at the end of a stated period. Rating migration measures the probability of a change in letter rating, however it encompasses both rating upgrades and downgrades.  

老师,想问下选项D,对于本身评级比较低的公司,评级转换的概率就比较大; 这个为什么呢?比如评级C 的公司从C 到A 的概率和评级B 的公司从B 到A, 是不是B 到A 概率会高点呢?(还是说这样比不合适?)

1 个答案

品职答疑小助手雍 · 2020年05月22日

嗨,努力学习的PZer你好:


这样比确实不是很合适啦,他说的是变化的概率,而不是变到特定级别的概率,也就是如果C评级公司依旧是C的概率是30%那变化的概率就是70%。

为什么说评级低的公司变化的概率大呢~是因为评级(相对于长经济周期而言)是一种中短期的评估,中短期内这公司会不会违约。

比如C评级这种垃圾债的公司,他们被评的违约率很高,但是如果他们短期内扛住了,那未来多半是会好一些的,那可能会被升级;而扛不住的话就违约,那对于评级C也是一种变化。因此变得概率还是挺高的。

而反观A评级的公司,中短期内,相对来说还是比较稳定的,变化不会像C评级的那么大。


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