开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

教皇V · 2021年02月07日

问一道题：NO.PZ2016082405000030 [ FRM II ]

  1. FRM II
  2. Credit Risk Measurement And Management

问题如下：

An analyst is studying the CDS spread curve for an established company. The 1-, 3- and 5-year spreads are 400 bps, 200 bps, and 150 bps, respectively. Which of the following interpretations of the data is most likely correct for the shape of the default distribution?

选项：

Default Distribution
Near-Term Slope

A.

Upward sloping
  flap slope

B.

Downward sloping
steep slope

C.

Upward sloping
steep slope

D.

Downward sloping
flat slope

解释：

C The CDS spreads indicate a downward sloping spread curve. Note that the cumulative distribution of default is always increasing regardless of the slope of the spread curve. In addition, since the short-term probability of default is relatively high, the slope in the near term of the default distribution function is relatively steep.

Spread越来越小不是应该越来越平缓吗？

添加评论
2 个答案
已采纳答案

品职答疑小助手雍 · 2021年02月07日

不是的，陡和缓是看变化率的，短期变化的多（400到200），就是陡的；越长期变化的越缓慢（200到150），那长期就是缓的。

品职答疑小助手雍 · 2021年02月07日

嗨，爱思考的PZer你好：


问的是累计违约概率的图形，它是单调非减的，所以图形向上。

因为1年期（本题中的最短期）的spreads最大，所以近期的违约概率是最高的，所以它在近期的斜率应该是陡的。


-------------------------------
加油吧，让我们一起遇见更好的自己！


教皇V · 2021年02月07日

陡还是缓不是看各个期限Spread的变化吗，差距逐渐缩小，所以越来越缓

  • 2

    回答

  • 0

    关注

  • 687

    浏览
相关问题

NO.PZ2016082405000030 analyst is stuing the C sprecurve for establishecompany. The 1-, 3- an5-yesprea are 400 bps, 200 bps, an150 bps, respectively. Whiof the following interpretations of the ta is most likely correfor the shape of the fault stribution? fault stribution Near-Term Slope Upwarsloping   flslope wnwarsloping steep slope Upwarsloping steep slope wnwarsloping flslope C The C sprea incate a wnwarsloping sprecurve. Note ththe cumulative stribution of fault is always increasing regaress of the slope of the sprecurve. In aition, sinthe short-term probability of fault is relatively high, the slope in the neterm of the fault stribution function is relatively steep. 题目也没有说是问cumulative啊，我理解撑了marginfault stribution不行么

2021-05-04 12:34 1 · 回答

NO.PZ2016082405000030 wnwarsloping steep slope Upwarsloping steep slope wnwarsloping flslope C The C sprea incate a wnwarsloping sprecurve. Note ththe cumulative stribution of fault is always increasing regaress of the slope of the sprecurve. In aition, sinthe short-term probability of fault is relatively high, the slope in the neterm of the fault stribution function is relatively steep. 不懂这题考的是什么？？求详细解答

2021-03-27 14:35 1 · 回答

analyst is stuing the C sprecurve for establishecompany. The 1-, 3- an5-yesprea are 400 bps, 200 bps, an150 bps, respectively. Whiof the following interpretations of the ta is most likely correfor the shape of the fault stribution? fault stribution Near-Term Slope Upwarsloping   flslope wnwarsloping steep slope Upwarsloping steep slope wnwarsloping flslope C The C sprea incate a wnwarsloping sprecurve. Note ththe cumulative stribution of fault is always increasing regaress of the slope of the sprecurve. In aition, sinthe short-term probability of fault is relatively high, the slope in the neterm of the fault stribution function is relatively steep. 老师看答案的，还是觉得是b哇，讲义中纵轴就是fault stribution 啊

2020-03-07 10:58 1 · 回答

老师，这个题目为啥是看累计分布？题目也没说啊

2019-10-19 01:00 1 · 回答