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教皇V · 2021年02月07日

问一道题：NO.PZ2016082405000030 [ FRM II ]

  1. FRM II
  2. Credit Risk Measurement And Management

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.

Spread越来越小不是应该越来越平缓吗？

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已采纳答案

品职答疑小助手雍 · 2021年02月07日

不是的，陡和缓是看变化率的，短期变化的多（400到200），就是陡的；越长期变化的越缓慢（200到150），那长期就是缓的。

品职答疑小助手雍 · 2021年02月07日

嗨，爱思考的PZer你好：


问的是累计违约概率的图形，它是单调非减的，所以图形向上。

因为1年期（本题中的最短期）的spreads最大，所以近期的违约概率是最高的，所以它在近期的斜率应该是陡的。


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教皇V · 2021年02月07日

陡还是缓不是看各个期限Spread的变化吗，差距逐渐缩小，所以越来越缓

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