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还是星宇好 · 2020年10月04日

问一道题：NO.PZ2016082405000040

  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.

老师理解不了第二点，什么是pariwise correlation，为什么在pariwise correlation的情况下，从风险中性触发，可以用coupla函数可高出tranches 之间的相关关系，后边那个base correlation又是啥，correlation skew又是啥，上课哪里没有讲的很清楚感觉

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2 个答案

品职答疑小助手雍 · 2020年10月07日

其实吧，也就第一句话有用不是么o(╯□╰)o

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品职答疑小助手雍 · 2020年10月04日

首先，只要了解到通过market price来倒推 implied correlation就够了。其他都不用掌握

后面我就随口大致翻译也一下，了解即可。

讲义第2点说的是，假设了两两的correlation不变化的情况下，可以由市场上的tranche价格来反推这个两两的correlation，也就是copula correlation。然后以这个correlation为base correlation（就相当于一个基准）再进行别的建模（别的建模可能会借鉴这个数据而已，不用管是哪些模型）。

然后因为不同tranche算出来的这个隐含的correlation不一定一样，就把这种现象起了个名字叫correlation skew。

还是星宇好 · 2020年10月06日

哇感觉很厉害，

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