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gongyin · 2021年09月12日

C选项为什么不对呢？

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033002000022

问题如下：

Which of the following pieces of information is not included in the credit transition matrices?

选项：

A.

The probability of the company's credit rating being downgraded from AA to BB within five years.

B.

Change in bond prices after credit rating downgrade from BB to BBB.

C.

Probability of default on bonds with a credit rating of B.

D.

Probability of conversion of high-yield bonds to investment-grade bonds.

解释：

B is correct.

考点：Credit Transition Matrices

解析：Credit Transition Matrices并不反应价格信息。

信用转移矩阵不是不是只反映评级变化的概率吗？ 为什么会反映对应的违约概率？

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品职答疑小助手雍 · 2021年09月12日

嗨，努力学习的PZer你好：


同学你好，举个例子，BBB级的债券，信用转移矩阵会反应它评级变成AAA,AA……B,C这些评级的概率和违约的概率。所以是会反应它直接违约的概率的。


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努力的时光都是限量版，加油！

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