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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

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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

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