NO.PZ2024050101000032
问题如下：
A risk analyst is evaluating the credit qualities of a financial institution and its counterparties assuming stress conditions prevail over the next 2 years. The analyst assesses the possibility of the financial institution defaulting on its counterparties and uses this information to estimate its debt valuation adjustment. The 1-year CDS on the financial institution currently trades at 240 bps. The analyst assumes a constant recovery rate of 80% for the financial institution and a constant correlation between the credit spread of the financial institution and the credit spread of the counterparties. Assuming a constant hazard rate process, what is the probability that the financial institution will survive in the first year and then default before the end of the second year?
选项：
A.8.9%
10.0%
11.3%
21.3%
解释：
英文解析：
This question requires one to first find the hazard rate (λ), which is estimated as follows:
λ= Spread/(1 – recovery rate) = [(240/10,000)/(1 – 0.8)] = 0.12 = 12.0%
Thus, 12.0% is the constant hazard rate per year. The joint probability of survival up to time t and default over (t, t+τ) is:
The joint probability of survival the first year and defaulting in the second year is:
中文解析：
这个问题要求首先找出风险率（λ），其估计方法如下：
λ = 利差 /（1 - 回收率）= [(240/10,000)/(1 – 0.8)] = 0.12 = 12.0%
因此，12.0%是每年的恒定风险率。截至时间t的生存概率与在区间(t, t+τ)内违约的联合概率为：
第一年存活且第二年违约的联合概率为：
请问在老师的哪个视频以及课件哪页能找到这个知识点呀？
