Liu
2020-09-13 15:41關(guān)於Credit risk百題, question 41, page 21-76, question 1: what is the meaning of unconditional PD 1% in this question? it is for what purpose? question 2: the answer mentions that (-2.33-(-0.4))/0.9165 should be = -2.158, why the answer is 1.8% ? question 3: what if the question is changed to "unconditional PD 3% or 4%" , then what will be the new formulas to find the new answers?
所屬：FRM Part II 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Cindy助教
2020-09-14 16:22
該回答已被題主采納
同學(xué)你好，
question 1: unconditional PD 1% 就是常規(guī)情況下的違約概率
question 2: (-2.33-(-0.4))/0.9165 should be = -2.158, 這個-2.158是正態(tài)分布的分位點(diǎn)，我們算的是違約概率，所以要用正態(tài)分布查表，得出違約概率是1.8%
question 3: "unconditional PD 3% or 4%" ,需要先查表，查表3%和4%的概率對應(yīng)的分位點(diǎn)，替換前面公式里的-2.33，-2.33代表的是1%的面積對應(yīng)的正態(tài)分布的分位點(diǎn)
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