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

粉红战狼 · 2022年04月24日

c选项表述准确吗?

NO.PZ2020033003000068

问题如下:

Regarding the estimation of default probability, which of the following is not correct?

选项:

A.

Risk-neutral probabilities of default are significantly larger than the real-world default probabilities by empirical evidence.

B.

The theoretical basis of transition matrices is consistent with risk-neutral approach.

C.

Hazard rates, also called the default intensity, measures the marginal conditional default probability.

D.

A Transition matrices of probabilities reflects the historical probabilities of credit rating migration for a certain period.

解释:

B is correct.

考点:probabilities of default

解析:transition matrices的本质上和风险中性是不一样的,风险中性的核心在于未来获得收益的期望等于无风险利率。而transition matrices是在历史数据中总结违约概率,并没有提及未来期望获得无风险利率的假设。

hazard rate就是指喇嘛大吧,是叫default intensity

marginal default probability 是default time density function 吧,两者不一样

1 个答案

DD仔_品职助教 · 2022年04月24日

嗨,爱思考的PZer你好:


C选项是讲义原文,完全正确的。

default intensity违约强度就是default time density违约的时间密度。违约时间发生的越短,违约强度不就越大嘛

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

粉红战狼 · 2022年04月24日

但是hazard rate不就是一个喇嘛大吗 marginal default probability在喇嘛大后面还有那么一堆

  • 1

    回答
  • 0

    关注
  • 426

    浏览
相关问题

NO.PZ2020033003000068 问题如下 Regarng the estimation of fault probability, whiof the following is not correct? A.Risk-neutrprobabilities of fault are significantly larger ththe real-worlfault probabilities empiricevince. B.The theoreticbasis of transition matrices is consistent with risk-neutrapproach. C.Hazarrates, also callethe fault intensity, measures the margincontionfault probability. A Transition matrices of probabilities reflects the historicprobabilities of cret rating migration for a certain perio B is correct.考点probabilities of fault解析transition matrices的本质上和风险中性是不一样的,风险中性的核心在于未来获得收益的期望等于无风险利率。而transition matrices是在历史数据中总结违约概率,并没有提及未来期望获得无风险利率的假设。 这个风险中性是啥意思,一直学的似懂非懂。就是我的收益是不考虑风险补偿的?那为什么又是只考虑了cret risk

2023-11-08 15:10 1 · 回答

NO.PZ2020033003000068问题如下 Regarng the estimation of fault probability, whiof the following is not correct? A.Risk-neutrprobabilities of fault are significantly larger ththe real-worlfault probabilities empiricevince.B.The theoreticbasis of transition matrices is consistent with risk-neutrapproach.C.Hazarrates, also callethe fault intensity, measures the margincontionfault probability.A Transition matrices of probabilities reflects the historicprobabilities of cret rating migration for a certain perio B is correct.考点probabilities of fault解析transition matrices的本质上和风险中性是不一样的,风险中性的核心在于未来获得收益的期望等于无风险利率。而transition matrices是在历史数据中总结违约概率,并没有提及未来期望获得无风险利率的假设。 我认为四个都不对。

2023-09-22 06:46 2 · 回答

NO.PZ2020033003000068 问题如下 Regarng the estimation of fault probability, whiof the following is not correct? A.Risk-neutrprobabilities of fault are significantly larger ththe real-worlfault probabilities empiricevince. B.The theoreticbasis of transition matrices is consistent with risk-neutrapproach. C.Hazarrates, also callethe fault intensity, measures the margincontionfault probability. A Transition matrices of probabilities reflects the historicprobabilities of cret rating migration for a certain perio B is correct.考点probabilities of fault解析transition matrices的本质上和风险中性是不一样的,风险中性的核心在于未来获得收益的期望等于无风险利率。而transition matrices是在历史数据中总结违约概率,并没有提及未来期望获得无风险利率的假设。 老师这个是为什么呢?不应该是risk-neutral一般考虑的风险少吗

2023-09-10 14:05 1 · 回答

NO.PZ2020033003000068 问题如下 Regarng the estimation of fault probability, whiof the following is not correct? A.Risk-neutrprobabilities of fault are significantly larger ththe real-worlfault probabilities empiricevince. B.The theoreticbasis of transition matrices is consistent with risk-neutrapproach. C.Hazarrates, also callethe fault intensity, measures the margincontionfault probability. A Transition matrices of probabilities reflects the historicprobabilities of cret rating migration for a certain perio B is correct.考点probabilities of fault解析transition matrices的本质上和风险中性是不一样的,风险中性的核心在于未来获得收益的期望等于无风险利率。而transition matrices是在历史数据中总结违约概率,并没有提及未来期望获得无风险利率的假设。 hazarrates是λ,marginfault probability=λe^(-λt)通过cumulative P出来的。这两个是一个意思吗?

2022-11-08 16:42 2 · 回答