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DDAXC · 2020年10月18日

问一道题:NO.PZ2016082405000025

问题如下:

Which of the following statements regarding ratings transition matrices is least correct?

选项:

A.

Transition matrices assess rating migrations, that is, the probability that a company starting with a particular rating will be downgraded within the stated period.

B.

The diagonal elements in the transition matrix beginning at the top left show the probability of ending the year with an unchanged rating.

C.

Within a transition matrix, there is no transition from default to another rating.

D.

The probability of a rating migration is higher for lower rated companies.

解释:

A Transition matrices assess the probability that a company’s rating will remain unchanged at the end of a stated period. Rating migration measures the probability of a change in letter rating, however it encompasses both rating upgrades and downgrades.  

d为什么是正确的呢 对于一个坏人来说再坏也坏不到哪里去 所以他的信用转移概率应该是小啊 想转移到好的rating的概率也不会很高

1 个答案

袁园_品职助教 · 2020年10月18日

同学你好!

由于评级(相对于长经济周期而言)是一种中短期的评估,中短期内这公司会不会违约。

比如C评级这种垃圾债的公司,他们被评的违约率很高,但是如果他们短期内扛住了,那未来多半是会好一些的,那可能会被升级;而扛不住的话就违约,那对于评级C也是一种变化。因此变得概率还是挺高的。

而反观A评级的公司,中短期内,相对来说还是比较稳定的,变化不会像C评级的那么大。

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