期权期货与其他衍生产品第九版课后习题与答案Chapter (24).pdf

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1、CHAPTER24CreditRiskPracticeQuestionsProblem24.1.Thespreadbetweentheyieldonathree-yearcorporatebondandtheyieldonasimilarrisk-freebondis50basispoints.Therecoveryrateis30%.Estimatetheaveragehazardrateperyearoverthethree-yearperiod.Fromequation(24.2)theaveragehazardrateoverthethreeyear

2、sis00050(103)00071or0.71%peryear.Problem24.2.SupposethatinProblem24.1thespreadbetweentheyieldonafive-yearbondissuedbythesamecompanyandtheyieldonasimilarrisk-freebondis60basispoints.Assumethesamerecoveryrateof30%.Estimatetheaveragehazardrateperyearoverthefive-yearperiod.Whatdo

3、yourresultsindicateabouttheaveragehazardrateinyears4and5?Fromequation(24.2)theaveragehazardrateoverthefiveyearsis00060(103)00086or0.86%peryear.Usingtheresultsinthepreviousquestion,thehazardrateis0.71%peryearforthefirstthreeyearsand000865000713001072or1.07%peryearinyear

4、s4and5.Problem24.3.Shouldresearchersusereal-worldorrisk-neutraldefaultprobabilitiesfora)calculatingcreditvalueatriskandb)adjustingthepriceofaderivativefordefaults?Real-worldprobabilitiesofdefaultshouldbeusedforcalculatingcreditvalueatrisk.Risk-neutralprobabilitiesofdefaultshouldbeu

5、sedforadjustingthepriceofaderivativefordefault.Problem24.4.Howarerecoveryratesusuallydefined?herecoveryrateforabondisthevalueofthebondimmediatelyaftertheissuerdefaultsasapercentofitsfacevalue.Problem24.5.Explainthedifferencebetweenanunconditionaldefaultprobabilitydensityandahazardr

6、ate.Thehazardrate,ht()attimetisdefinedsothatht()tistheprobabilityofdefaultbetweentimestandttconditionalonnodefaultpriortotimet.Theunconditionaldefaultprobabilitydensityqt()isdefinedsothatqt()tistheprobabilityofdefaultbetweentimestandttasseenattimezero.Problem24.6.Verifya)that

7、thenumbersinthesecondcolumnofTable24.3areconsistentwiththenumbersinTable24.1andb)thatthenumbersinthefourthcolumnofTable24.4areconsistentwiththenumbersinTable24.3andarecoveryrateof40%.ThefirstnumberinthesecondcolumnofTable24.3iscalculatedas1ln(1000245)000035047or0.04%peryearwhe

8、nrounded.Othernumbersinthe