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还是星宇好 · 2020年10月19日

问一道题:NO.PZ2016082405000042

问题如下:

Liz Parker is a junior quantitative analyst who is preparing a report dealing with credit migration. An excerpt of her report contains the following statements:

I. Future default probability will likely increase over time, especially for periods far into the future.

II. When computing the default probability of a counterparty under a risk-neutral measure, we need to first determine the actual default probability.

Which of Parker's statements is (are) correct?

选项:

A.

I only.

B.

II only.

C.

Both I and II.

D.

Neither I nor II.

解释:

D Future default probability will likely decrease over time, especially for periods far into the future. This is because of the higher likelihood that the default will have already occurred at some earlier point. In computing the default probability of a counterparty under a risk- neutral measure, one needs to compute the theoretical market-implied probability; the actual default probability applies under a real (historical) measure.

我就想问问 default probability of a counterparty under a risk-neutral measure怎么算,ppT就说了CVA 的两种方法嘛,难道是YTM-rf=pd(1-rr)?

1 个答案

小刘_品职助教 · 2020年10月19日

同学你好,

不好意思,找了下原版书,没有对相关内容继续深入的讲解。