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ysr1990 · 2020年06月03日

问一道题：NO.PZ2016082405000040 [ FRM II ]

  1. FRM II
  2. Credit Risk Measurement And Management

问题如下：

Which of the following statements best describes the calculation of implied correlation?

选项：

A.

The implied correlation for the mezzanine tranche assumes non-constant pairwise correlation.

B.

Observable market prices of credit default swaps are used to infer the tranche values.

C.

The tranche pricing function is calibrated to match the model price with the market price.

D.

The risk-adjusted default probabilities are used in model calibration.

解释：

C Starting with observed market prices and a pricing function for the tranches, it is possible to back out the implied correlation to calibrate the model price with the market price. The computation of implied correlation assumes constant pairwise correlation. Both credit default swap and tranche values are observed. Observed tranche values are used in conjunction with risk-neutral default probabilities to compute implied correlation.

b哪里错了吗？ 我没觉得b有问题啊

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1 个答案

袁园_品职助教 · 2020年06月04日

同学你好！

答案解析里也说了“ Both credit default swap and tranche values are observed ”

而不是像 B 选项说用 CDS 的价格来反推 tranche value，两者的价格都是可以直接从市场上观察到的

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