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doris · 2020年09月03日

问一道题：NO.PZ2016082405000067

  1. FRM II
  2. Credit Risk Measurement And Management

问题如下：

Based on the following information, what are the the risk-neutral and real-world default probabilities?

•     Market price of bond is 92.

•     Liquidity premium is 1%.

•     Credit risk premium is 2%.

•     Risk-free rate is 2.5%.

•     Expected inflation is 1.5%.

•     Recovery rate is 0%.

选项：

Risk-neutral probability
Real-world probability
A.
5% 
8%
B.
8% 
5%
C.
6% 
8%
D.
5% 
6%

解释：

B The risk-neutral default probability is approximately 8% because the market price is 92% of par.

risk-neutral probability = real-world probability + credit risk premium + liquidity premium

8% = real-world probability + 2% + 1%

real-world probability = 8% - 3% = 5%

我这题是用排除法做的，只有B选项，risk neutral PD大于real PD，是不是可以这么做，因为计算的跟这不一样。

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1 个答案

品职答疑小助手雍 · 2020年09月03日

嗨，爱思考的PZer你好：


可以把risk neutral PD大于real PD作为一个选择依据吧。

本题的计算过程如下。这道题的槽点是，它把1+rf近似成1了，92=（1-PD）*100/（1+rf），被好多人诟病过，不具有代表性。


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


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NO.PZ2016082405000067 B The risk-neutrfault probability is approximately 8% because the market priis 92% of par. risk-neutrprobability = real-worlprobability + cret risk premium + liquity premium 8% = real-worlprobability + 2% + 1% real-worlprobability = 8% - 3% = 5% 可以具体下The risk-neutrfault probability is approximately 8% because the market priis 92% of par.么？ 如果按照讲义上的风险中性p计算方法如下，计算出来是5.7%，请问这个方式有什么问题么？ p=100(1-p/1+risk_free_rate 92=100*(1-p/1+0.025

2021-05-11 23:13 1 · 回答

NO.PZ2016082405000067 8%  5% 6%  8% 5%  6% B The risk-neutrfault probability is approximately 8% because the market priis 92% of par. risk-neutrprobability = real-worlprobability + cret risk premium + liquity premium 8% = real-worlprobability + 2% + 1% real-worlprobability = 8% - 3% = 5% 真实pπ这个规律可以直接使用吗

2021-03-27 12:02 1 · 回答

NO.PZ2016082405000067 B The risk-neutrfault probability is approximately 8% because the market priis 92% of par. risk-neutrprobability = real-worlprobability + cret risk premium + liquity premium 8% = real-worlprobability + 2% + 1% real-worlprobability = 8% - 3% = 5% 这里的real-worlP我理解用中性减掉LRP，但是为什么要减去CRP？CRP不是应该包括在真实世界P面吗？

2021-03-04 23:29 1 · 回答

B The risk-neutrfault probability is approximately 8% because the market priis 92% of par. risk-neutrprobability = real-worlprobability + cret risk premium + liquity premium 8% = real-worlprobability + 2% + 1% real-worlprobability = 8% - 3% = 5% 这个inflation rate只是一个干扰项吧？

2020-11-05 20:22 1 · 回答

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2020-10-14 19:45 1 · 回答