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冰霄 · 2022年04月07日

Hazard rates 也能反映边际条件违约概率吗 不是累计违约概率吗？

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033003000068

问题如下：

Regarding the estimation of default probability, which of the following is not correct?

选项：

A.

Risk-neutral probabilities of default are significantly larger than the real-world default probabilities by empirical evidence.

B.

The theoretical basis of transition matrices is consistent with risk-neutral approach.

C.

Hazard rates, also called the default intensity, measures the marginal conditional default probability.

D.

A Transition matrices of probabilities reflects the historical probabilities of credit rating migration for a certain period.

解释：

B is correct.

考点：probabilities of default

解析：transition matrices的本质上和风险中性是不一样的，风险中性的核心在于未来获得收益的期望等于无风险利率。而transition matrices是在历史数据中总结违约概率，并没有提及未来期望获得无风险利率的假设。

Hazard rates 也能反映边际条件违约概率吗 不是累计违约概率吗？

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1 个答案

DD仔_品职助教 · 2022年04月07日

嗨，从没放弃的小努力你好：


hazard rate是单位时间内的违约概率，衡量的是边际违约概率。

同学请看基础讲义215页的原文描述。

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