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