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RyanR · 2023年11月08日

不能理解risk neutral了

  1. FRM II
  2. Credit Risk Measurement And Management

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。

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credit risk

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1 个答案

DD仔_品职助教 · 2023年11月10日

嗨，努力学习的PZer你好：


风险中性就是对风险没有感觉，只追求一个无风险收益率。答案里没有说任何关于rf是考虑credit risk的句子，只是说transition matrics是在历史数据中总结违约概率，跟风险中性没关系，没有这个假设。

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