NO.PZ2016082405000068
问题如下：
Robin Hudson, FRM, was discussing the various methods to estimate default probabilities with her colleague Kate Alexander, FRM. Hudson made the following comments:
I. Transition matrices are an important component of the risk-neutral approach.
II. Hazard rates measure the instantaneous conditional default probability.
III. Risk-neutral default probabilities are downward biased estimates of real-world default probabilities.
How many of these statements should Alexander agree with?
选项：
A.None of the statements.
B.One statement.
C.Two statements.
D.Three statements.
解释：
B Only statement II is correct. Transition matrices are more likely to be used in the historical approach. Empirical evidence shows that real-world default probabilities are significantly lower than risk-neutral default probabilities.
1。hazard rate是每一年的违约概率（假设这一年存活），所以是条件违约概率是吗？
2.就是例如说hazard rate是2%，只是代表第一年是2%，第二年是2%*（1-2%）对吗？
