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滴滴姐姐~ · 2021年10月11日

来问问这题。。。

  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%

还有一个问题 求YTM 为什么使用(95-100)/100？

正经求YTM不是（期末P1-期初P0）/ P0吗？蟹蟹蟹蟹

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滴滴姐姐~ · 2021年10月12日

刚刚看老师基础班157页视频，说用bond price 算PD有两大方法总结，一是通过price，二是通过spread。。那我理解现在问的这道题就在用spread咯？risk neutral的YTM补偿for三个因素，违约风险、（非违约的）credit risk（是不是就是downgrade之类的风险？不太理解为啥default和credit 是分开的T T）、还有就是流动性风险？

2 个答案

品职答疑小助手雍 · 2021年10月12日

后面那个评论，是的，本题是用spread进行的，risk neutral比real world高出来的就是三部分default risk， default risk premium，还有个流动性风险。那个default risk premium我觉得理解成你说的没啥问题，还一种解释比较偏心理：就算把直接违约的溢价给我，对于我依旧不愿意买这个债券除非再降点，这个再降点的部分除了流动性风险就是default risk premium了。

品职答疑小助手雍 · 2021年10月12日

同学你好，YTM的算法的话，这题就当简化了，实际上应该按你说的那样算。

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