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金融民工阿聪 · 2021年04月03日

有点问题

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2016082406000087

问题如下：

A bank computes the distribution of its loan portfolio marked-to-market value one year from now using the CreditMetrics approach of computing values for rating transition outcomes using a rating agency transition matrix, current forward curves, and correlations among rating transition outcomes derived from stock returns of the obligors. In computing firm-wide risk using this distribution of its loan portfolio, the bank is most likely to understate its risk because it ignores

选项：

A.

The term structure of interest rates

B.

Rating drift

C.

Spread risk

D.

The negative correlation between the Treasury rates and credit spreads

解释：

ANSWER: C

CreditMetrics ignores spread risk. It does account for rating drift and the term structure of interest rates, albeit not their volatility.

1.为什么rf和credit spread是负相关呢？

2.KMV,CREDITRISK+,CREDITMETRICS都不考虑spread risk对吗？

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已采纳答案

品职答疑小助手雍 · 2021年04月05日

嗨，爱思考的PZer你好：


1.我没太有印象这个负相关是个很确定的知识点，顶多可以用一些现象来解释：经济差的时候，短期国债卖的好（收益率低），公司债卖的不好（便宜，收益率高），此时在公司债的收益率中rf就低而credit spread就高；经济好的时候反过来公司债的收益率中rf就高而credit spread就低。上述来看是负相关。

2.不考虑。

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