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•西• · 2020年08月25日

问一道题：NO.PZ2016082405000025 [ FRM II ]

  1. FRM II
  2. Credit Risk Measurement And Management

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.  

        能解读哈d吗？为什么是对的       

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1 个答案

品职答疑小助手雍 · 2020年08月25日

嗨，爱思考的PZer你好：


因为评级高的公司本身情况好，一般来说评级稳定的可能性比较高。

而评级低的公司本身其实财务和经营状况本来就不好了，所以要么扛住了压力挺过来了，这种情况评级会上升，要么扛不住default了，这种情况就直接债券变废纸了，一直奄奄一息维持低评级的情况还是不多的，所以低评级公司评级变化的可能性比高评级公司大


-------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！


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