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爱晒太阳的猫 · 2021年05月11日

可以具体解释下The risk-neutral default probability is approximately 8% because the market price is 92% of par.么?

NO.PZ2016082405000067

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%

可以具体解释下The risk-neutral default probability is approximately 8% because the market price is 92% of par.么?

如果按照讲义上的风险中性pd的计算方法如下,计算出来是5.7%,请问这个方式有什么问题么?

p=100(1-pd)/1+risk_free_rate

92=100*(1-pd)/1+0.025

1 个答案
已采纳答案

品职答疑小助手雍 · 2021年05月12日

嗨,从没放弃的小努力你好:


这题过程中玩数字游戏把RF直接忽略了,也就是你列的式子里的0.025。 算下来就是8%。

这题时间有点久远,以前还提示了一下"ignore the time value of money",后来就粗略计算了。不用深究,掌握知识点就好~

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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

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% 我的只能理解,中性定价里面,所有的sprea对CR进行补偿,这个时候CR大了,所以P,如果是objective的话, sprea止对CR进行补偿,还有别的东西,所以,P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 NATURP 1+3+2=6%,这个东西应该是sprea概念 如果套用这题,sprea 8%-2.5%=5.5%,如果是risk natur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。。。

2020-10-14 19:45 1 · 回答