NO.PZ2020033003000040
问题如下:
Regarding implied correlation, which of the following statements is correct?
选项:
A. The credit default swap (CDS) term structure observed in the market is used to get tranche values.
B. Given the observed market prices, the risk-neutral default curves and the pricing function for the tranches, we can calculate a riskneutral implied correlation for each tranche.
C. Risk-adjusted default probability is uesed in model calibration.
D. Correlations generally constant by tranche.
解释:
B is correct.
考点: Structured Credit Risk
解析:证券化过程中,通过观察市场价格、风险中性的违约率曲线,以及每个tranche的价格,可以来计算风险中性的隐含相关性,相当于通过市场状况进行模型校准,同时不同tranche内的隐含相关性会不同(这也叫correlation skew)。
小羽老师好,谢谢一直迅速和通俗易懂的回复!非常感谢!