老师，没太理解upward sloping，请帮忙详细再解释一下，谢谢！

NO.PZ2020033003000030

问题如下：

Analysts at Flamingo Bank are analyzing a company's CDS curve. The 1-year, 5-year, and 10-year CDS spreads of this company are 800 basis points, 300 basis points, and 100 basis points, respectively. Which of the following statements best describes the shape of default distribution?

选项：

Default Distribution

Near-Term Slope

A. Flat in short term and upward sloping.

B. Flat in short term and downward sloping.

C. Steep in short term and downward sloping.

D. Steep in short term and upward sloping.

解释：

D is correct.

考点：Hazard Rates-Risk-neutral Hazard Rates, Using CDS to estimate hazard rates

解析：累计违约概率肯定是upward sloping的，短期的风险大，所以比较steep。

老师，没太理解upward sloping，请帮忙详细再解释一下，谢谢！

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DD仔_品职助教 · 2021年09月11日

嗨，爱思考的PZer你好：

同学你好~

default distribution是违约的分布，说的就是累计违约prob。这个累计违约概率肯定是逐年上升的，因为是累计值，一年一年叠加。那么在图形里，横坐标是年，纵坐标是累计违约概率，这个图形就是呈上升趋势的，英文描述就是upward sloping。

因为短期1y的spread大，就说明短期违约风险更大一些，那么累计prob在短期就会增长的更快，反映在图里就是短期更陡峭，差不多就是我底下画的图的样子，同学可以参考一下~

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NO.PZ2020033003000030问题如下 Analysts Flamingo Bank are analyzing a company's C curve. The 1-year, 5-year, an10-yeC sprea of this company are 800 basis points, 300 basis points, an100 basis points, respectively. Whiof the following statements best scribes the shape of fault stribution? fault stribution Near-Term Slope A.Flin short term anupwarsloping.B.Flin short term anwnwarsloping.C.Steep in short term anwnwarsloping.Steep in short term anupwarsloping. is correct.考点HazarRates-Risk-neutrHazarRates, Using C to estimate hazarrates解析累计违约概率肯定是upwarsloping的，短期的风险大，所以比较steep。怎么能看出来题目说的是累积违约概率的趋势呢

2023-07-24 22:12 1 · 回答

没理解这题为什么不是选C 另外在什么情况下判定它是wnwarsloping呢？

2021-11-14 21:35 2 · 回答

老师，没太理解upward sloping，请帮忙详细再解释一下，谢谢！

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