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朵朵0927 · 2020年03月07日

问一道题:NO.PZ2016082405000030

问题如下:

An analyst is studying the CDS spread curve for an established company. The 1-, 3- and 5-year spreads are 400 bps, 200 bps, and 150 bps, respectively. Which of the following interpretations of the data is most likely correct for the shape of the default distribution?

选项:

Default Distribution
Near-Term Slope
A.
Upward sloping
  flap slope
B.
Downward sloping
steep slope
C.
Upward sloping
steep slope
D.
Downward sloping
flat slope

解释:

C The CDS spreads indicate a downward sloping spread curve. Note that the cumulative distribution of default is always increasing regardless of the slope of the spread curve. In addition, since the short-term probability of default is relatively high, the slope in the near term of the default distribution function is relatively steep.

老师看答案的解释,还是觉得是b哇,讲义中纵轴就是default distribution 啊

1 个答案

小刘_品职助教 · 2020年03月07日

同学你好,应该选C。

你可以再仔细看一下题中的解释,spread curve是向下的没有错,但是题目中问的是default distribution 的形状,这个永远都是增加的,即往上倾斜的;讲义上画的形状也是spread curve。

供参考。

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老师,这个题目为啥是看累计分布?题目也没说啊

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