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还是星宇好 · 2020年09月02日

问一道题:NO.PZ2016082406000020

问题如下:

The marginal default probabilities for an A-rated issue are, respectively, for years 1, 2, and 3: 0.300%, 0.450%, and 0.550%. Assume that defaults, if they take place, happen only at the end of the year. Calculate the cumulative default rate at the end of each of the next three years.

选项:

A.

0.300%, 0.750%, 1.300%

B.

0.300%, 0.150%, 0.250%

C.

0.300%, 0.749%, 1.295%

D.

0.300%, 0.449%, 0.548%

解释:

ANSWER: C

The default rate to the end of year 2 is the survival rate for year 1 times the year 2 default rate, (1d1)d2=(10.003)0.0045=0.449%{(1-d_1)}d_2={(1-0.003)}0.0045=0.449\%. Hence the year 2 cumulative default rate is 0.300 + 0.449 = 0.749%. The default rate to the end of year 3 is (1d1)(1d2)d3=(10.003)(10.0045)0.0055=0.546%{(1-d_1)}{(1-d_2)}d_3={(1-0.003)}{(1-0.0045)}0.0055=0.546\%. Hence the year 3 cumulative default rate is 0.749 + 0.546 = 1.295%.

老师题目里面给的MPD,MPD2=(1- 第一年不违约的概率)*第二年违约的概率【单独的看第二年违约的概率PD】

但是看答案貌似是,吧MPD2直接当成了d2来用了。。

1 个答案

小刘_品职助教 · 2020年09月02日

同学你好,

这道题里的marginal PD 就是d2,参见基础班讲义第92页。

因为FRM原版书参考的教材前后不一致,所以出现了marginal PD和conditional PD混用的情况,暂时也没办法对这部分内容进行勘误~

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