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良爱洳 · 2021年11月14日

问一道题：NO.PZ2020033003000067 [ FRM II ]

  1. FRM II
  2. Credit Risk Measurement And Management

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%

计算时为什么需要把credit risk的premium也减掉？记得讲义上是说把non-credit risk factors减掉即可
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2 个答案

DD仔_品职助教 · 2023年07月11日

嗨，努力学习的PZer你好：


不需要，同学可以看一下回答的图片，是不包含inflation rate。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

DD仔_品职助教 · 2021年11月14日

嗨，从没放弃的小努力你好：


这个题有点特殊，他是notes上的例题，和咱们教材讲的确实有点不一样。

教材也就是讲义认为不减去credit risk premium，但是notes上的解析确认为要减去。。。

notes上的逻辑是：市场给出的定价是95，这个定价是根据risk neutral 算出来的，就说明real world违约概率、投资者要求的default risk premium再加上流动性补偿（liquidity premium）三个部分加起来是5%，这样real world default probability是2%。

如下图所示：

notes上的题确实会有和教材有冲突的时候，同学考试做题还是教材和讲义为主。


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努力的时光都是限量版，加油！

水瓶公主 · 2023年07月11日

第二问的计算不需要减去通货膨胀率吗

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