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金融民工阿聪 · 2020年08月16日

问一道题：NO.PZ2016082405000040

  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.

这道题，C的is calibrated to match model price with market price是什么意思

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1 个答案

小刘_品职助教 · 2020年08月17日

同学你好，

这句的意思是倒算出来的implied correlation 可以用市场价格对模型价格做一个校准。

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NO.PZ2016082405000040 Whiof the following statements best scribes the calculation of impliecorrelation? The impliecorrelation for the mezzanine tranche assumes non-constant pairwise correlation. Observable market prices of cret fault swaps are useto infer the tranche values. The tranche pricing function is calibrateto matthe mol priwith the market price. The risk-austefault probabilities are usein mol calibration. C Starting with observemarket prices ana pricing function for the tranches, it is possible to baout the impliecorrelation to calibrate the mol priwith the market price. The computation of impliecorrelation assumes constant pairwise correlation. Both cret fault swantranche values are observe Observetranche values are usein conjunction with risk-neutrfault probabilities to compute impliecorrelation. risk-neutrPrisk-austeP啥不同

2021-03-14 13:27 1 · 回答

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2020-10-22 10:23 3 · 回答

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2020-10-04 00:44 2 · 回答

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2020-06-03 12:54 1 · 回答