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还是星宇好 · 2020年10月14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%

我的只能理解，中性定价里面，所有的spread都对CR进行补偿，这个时候CR大了，所以PD高，如果是objective的话， spread不止对CR进行补偿，还有别的东西，所以，PD相对就低了。就是扫一眼知道选B ，


还是不太明白你放的那个图，和这句话是怎么补偿的。讲道理RISK NATURAL PD= 1+3+2=6%,这个东西应该是spread的概念

如果套用这题，spread= 8%-2.5%=5.5%，如果是risk natural 的话5.5%全部补偿CR了，再减去1%的流动性4.5%就是objective

但是这么硬算又找不到答案。。。

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1 个答案

袁园_品职助教 · 2020年10月15日

同学你好！

这道题是notes上的，他就是想让你套一下他那个图，不用太钻了，参考意义不大。

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2021-05-11 23:13 1 · 回答

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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？

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