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410140980 · 2023年04月14日

计算real world PD

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033003000067

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%

老师这道题计算的YTM应该是100/95-1 =5.26%，解析给的是5%应该是简化计算的吧？

另外计算real world PD的计算为什么是加上credit spread +liquidity premium 才是YTM-Rf。我觉得YTM-Rf就是credit spread +liquidity premium +inflation+risk free rate

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1 个答案

品职答疑小助手雍 · 2023年04月15日

同学你好， 是简化计算了，忽略了rf折现那一步。

我看后面那个问题，另一个老师已经答的很完整了，你直接看他的回答就行。

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