老师，可以讲解下这道题吗

NO.PZ2023040701000089

问题如下：

Bonds I have a maturity of one year, an annual coupon rate of 5%, and a market price equal to par value. The risk-free rate is 3%. Historical default experiences of bonds are presented in Exhibit 1.

Exhibit 1 Credit Risk Information for Comparable Bonds

Based on Exhibit 1, the risk-neutral default probability for Bond I is closest to:

选项：

2.000%.

3.175%.

4.762%.

解释：

Correct Answer: B

The risk-neutral default probability, P*, is calculated using the current price, the expected receipt at maturity with no default (that is, 100 + 5 = 105), the expected receipt at maturity in the event of a default (that is, 0.40 × 105 = 42), and the risk-free rate of interest (0.03)

Solving for P* gives 0.031746, or 3.1746%.

老师，可以讲解下这道题吗

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吴昊_品职助教 · 2024年07月15日

嗨，努力学习的PZer你好：

风险中性违约概率需要从价格中反求出来。

如果没有违约（概率是1-P*），可以到手105；如果违约了（概率是P*），只能拿到0.40 × 105 = 42，0.4是recovery rate，也就是一旦违约可以收回的部分。

然后将不违约和违约的加权平均，105×（1-P*）+42×P*，再除以(1+rf)即可得到价格100。通过列式反求出P*。

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NO.PZ2023040701000089问题如下 Bon I have a maturity of one year, annucoupon rate of 5%, ana market priequto pvalue. The risk-free rate is 3%. Historicfault experiences of bon are presentein Exhibit 1.Exhibit 1 Cret RiskInformation for Comparable BonBaseon Exhibit1, the risk-neutrfault probability for BonI is closest to: A.2.000%.B.3.175%.C.4.762%. CorreAnswer: BThe risk-neutrfault probability, P*, is calculateusing the current price, the expectereceipt maturity with no fault (this, 100 + 5 = 105), the expectereceipt maturity in the event of a fault (this, 0.40 × 105 = 42), anthe risk-free rate of interest (0.03) Solving for P* gives 0.031746, or 3.1746%. 按表格内的98%违约概率是2%。为什么不能参考这个数字？是因为不是risk neutural吗？

2023-06-27 15:15 1 · 回答

老师，可以讲解下这道题吗

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