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

追风少年NKU · 2021年08月29日

这题出的有点让人摸不清头脑

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033003000067

问题如下：

Jane is asked to calculate the risk-neutral and real-world default probabilities of the bond A. She collected the following datas. The market price of the bond A with a face value of 100 is 95. The liquidity premium and credit risk premium are 2% and 1% respectively. The coupon rate of newly issued treasury bond is 2.5%. The expected inflation is 0.8%.

选项：

Risk-neutral probability
Real-world probability
A.
Risk-neutral probability 2%
Real-world probability 5%
B.
Risk-neutral probability 5%
Real-world probability 2%
C.
Risk-neutral probability 5%
Real-world probability 4.2%
D.
Risk-neutral probability 4.2%
Real-world probability 5%

解释：

B is correct.

考点：Infer Credit Risk from Corporate Bond Prices

解析：risk-neutral default probability 100-95=5%

risk-neutral probability = real-world probability + credit risk premium + liquidity premium

real-world probability = 5% - 2%-1% = 2%

这题出的有点让人摸不清头脑

添加评论
1 个答案

李坏_品职助教 · 2021年08月30日

嗨，努力学习的PZer你好：


这道题考察的是risk-neutral风险中性违约概率和real-world实际情况下的违约率之间的关系。


根据notes的这部分的考点：

Risk-neutral default probabilities are calculated from market information, while real-world default probabilities are based on historical data. Typically, real-world default probabilities are less than risk-neutral default probabilities.

这里可以看出risk-neutral违约概率=real-world违约率+default risk Premium + liquidity premium。

treasury bond是几乎没有违约概率的，所以这道题里的计算与它无关。


直接看bond A：面值100，Price是95，说明市场对它的总的违约损失预期（risk-neutral default probability）是5%。这个5%包括了实际情况的违约概率、投资者要求的违约风险补偿（default risk premium）以及流动性补偿（liquidity premium）三个部分。

设real-world违约率是x, 那么5% = x + 1% + 2% , x = 2%。

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

  • 1

    回答

  • 1

    关注

  • 802

    浏览
相关问题

NO.PZ2020033003000067 问题如下 Jane is asketo calculate the risk-neutranreal-worlfault probabilities of the bonShe collectethe following tas. The market priof the bonA with a favalue of 100 is 95. The liquity premium ancret risk premium are 2% an1% respectively. The coupon rate of newly issuetreasury bonis 2.5%. The expecteinflation is 0.8%. Risk-neutrprobabilityReal-worlprobability A.Risk-neutrprobability 2% Real-worlprobability 5% B.Risk-neutrprobability 5% Real-worlprobability 2% C.Risk-neutrprobability 5% Real-worlprobability 4.2% Risk-neutrprobability 4.2% Real-worlprobability 5% B is correct.考点Infer Cret Risk from Corporate BonPrices解析risk-neutrfault probability 100-95=5%risk-neutrprobability = real-worlprobability + cret risk premium + liquity premium real-worlprobability = 5% - 2%-1% = 2% 题目中的2.5%和0.8%什么时候需要考虑？

2023-10-15 13:09 1 · 回答

NO.PZ2020033003000067 问题如下 Jane is asketo calculate the risk-neutranreal-worlfault probabilities of the bonShe collectethe following tas. The market priof the bonA with a favalue of 100 is 95. The liquity premium ancret risk premium are 2% an1% respectively. The coupon rate of newly issuetreasury bonis 2.5%. The expecteinflation is 0.8%. Risk-neutrprobabilityReal-worlprobability A.Risk-neutrprobability 2% Real-worlprobability 5% B.Risk-neutrprobability 5% Real-worlprobability 2% C.Risk-neutrprobability 5% Real-worlprobability 4.2% Risk-neutrprobability 4.2% Real-worlprobability 5% B is correct.考点Infer Cret Risk from Corporate BonPrices解析risk-neutrfault probability 100-95=5%risk-neutrprobability = real-worlprobability + cret risk premium + liquity premium real-worlprobability = 5% - 2%-1% = 2% 这个题正常应该怎么解答呢，使用简化的公式吗？LG般是需要给出来的吧。风险中性P为什么是实际违约概率加上信用风险和流动性风险的SPREA谢谢

2023-07-24 13:29 1 · 回答

NO.PZ2020033003000067 问题如下 Jane is asketo calculate the risk-neutranreal-worlfault probabilities of the bonShe collectethe following tas. The market priof the bonA with a favalue of 100 is 95. The liquity premium ancret risk premium are 2% an1% respectively. The coupon rate of newly issuetreasury bonis 2.5%. The expecteinflation is 0.8%. Risk-neutrprobabilityReal-worlprobability A.Risk-neutrprobability 2% Real-worlprobability 5% B.Risk-neutrprobability 5% Real-worlprobability 2% C.Risk-neutrprobability 5% Real-worlprobability 4.2% Risk-neutrprobability 4.2% Real-worlprobability 5% B is correct.考点Infer Cret Risk from Corporate BonPrices解析risk-neutrfault probability 100-95=5%risk-neutrprobability = real-worlprobability + cret risk premium + liquity premium real-worlprobability = 5% - 2%-1% = 2% 老师这道题也没有给recovery rate是多少，默认0吗？ 然后100/95-1也不等于5%啊，也是近似取值吗？

2023-07-18 15:56 1 · 回答

NO.PZ2020033003000067 问题如下 Jane is asketo calculate the risk-neutranreal-worlfault probabilities of the bonShe collectethe following tas. The market priof the bonA with a favalue of 100 is 95. The liquity premium ancret risk premium are 2% an1% respectively. The coupon rate of newly issuetreasury bonis 2.5%. The expecteinflation is 0.8%. Risk-neutrprobabilityReal-worlprobability A.Risk-neutrprobability 2% Real-worlprobability 5% B.Risk-neutrprobability 5% Real-worlprobability 2% C.Risk-neutrprobability 5% Real-worlprobability 4.2% Risk-neutrprobability 4.2% Real-worlprobability 5% B is correct.考点Infer Cret Risk from Corporate BonPrices解析risk-neutrfault probability 100-95=5%risk-neutrprobability = real-worlprobability + cret risk premium + liquity premium real-worlprobability = 5% - 2%-1% = 2% 老师不理解risk-neutrprobability = real-worlprobability + cret risk premium + liquity premium我觉得YTM-Rf 就是risk premium，也据说5%的sprea面包含了2%的liquity premium，剩下的3%应该都属于 cret risk premium呀

2023-04-14 15:41 1 · 回答

NO.PZ2020033003000067 问题如下 Jane is asketo calculate the risk-neutranreal-worlfault probabilities of the bonShe collectethe following tas. The market priof the bonA with a favalue of 100 is 95. The liquity premium ancret risk premium are 2% an1% respectively. The coupon rate of newly issuetreasury bonis 2.5%. The expecteinflation is 0.8%. Risk-neutrprobabilityReal-worlprobability A.Risk-neutrprobability 2% Real-worlprobability 5% B.Risk-neutrprobability 5% Real-worlprobability 2% C.Risk-neutrprobability 5% Real-worlprobability 4.2% Risk-neutrprobability 4.2% Real-worlprobability 5% B is correct.考点Infer Cret Risk from Corporate BonPrices解析risk-neutrfault probability 100-95=5%risk-neutrprobability = real-worlprobability + cret risk premium + liquity premium real-worlprobability = 5% - 2%-1% = 2% 老师这道题计算的YTM应该是100/95-1 =5.26%，解析给的是5%应该是简化计算的吧？另外计算reworlP计算为什么是加上cret spre+liquity premium 才是YTM-Rf。我觉得YTM-Rf就是cret spre+liquity premium +inflation+risk free rate

2023-04-14 14:46 1 · 回答