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:
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