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小爽加油呀 · 2023年03月12日

老师 b错在哪里？

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033002000022

问题如下：

Which of the following pieces of information is not included in the credit transition matrices?

选项：

A.

The probability of the company's credit rating being downgraded from AA to BB within five years.

B.

Change in bond prices after credit rating downgrade from BB to BBB.

C.

Probability of default on bonds with a credit rating of B.

D.

Probability of conversion of high-yield bonds to investment-grade bonds.

解释：

B is correct.

考点：Credit Transition Matrices

解析：Credit Transition Matrices并不反应价格信息。

是错在 bond price吗

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1 个答案

品职答疑小助手雍 · 2023年03月12日

同学你好，是的，转移矩阵只包含转移或违约的概率，不包括价格变化。

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