由买买提看人间百态

boards

本页内容为未名空间相应帖子的节选和存档,一周内的贴子最多显示50字,超过一周显示500字 访问原贴
Quant版 - 如何解 conditional PD
相关主题
求建议:职位的选择一个关于模拟的问题
credit risk scorecard一般是指retail credit risk吗?A random walk problem.
Overview of hiring in the Quants and Risk Market - 2011/2012 (from HH)an interview question of probability
[Job] ENTERPRISE RISK BUSINESS ANALYST问一道conditional probability的题
who can enlighten me of this basel RWA calculation?help: citadel phone interview
The rise and fall of IB/quants问一个convergence of random variables的问题
quant analyst (转载)Risk Neutral probability
marketing risk和credit risk 的offer,求比较,谢谢一个概率题
相关话题的讨论汇总
话题: pd话题: t1话题: t2话题: exposure
进入Quant版参与讨论
1 (共1页)
m*******e
发帖数: 13
1
问个很弱的问题,不过很头疼,明天要给老板交差。。。。
Basel 2 的计算credit valuation adjustment (CVA),
公式是:
CVA = sum of (expected exposure * DF * Conditional PD * LGD);
expect exposure 是每个时间段的positive cash flow,
请问,我知道从现在开始到1年的 absolute PD is .01 (从internal rating ),
我只有1个 expected exposure,在30天之后,请问如何求 conditional PD,
谢谢,说白了就是通过 absolute PD, 如何求 conditioanl PD 的问题。
m*******e
发帖数: 13
2
不好意思,刚才忘记说了,我的absolute PD 是从1年的 internal rating 的
transition matrix 得到的。

【在 m*******e 的大作中提到】
: 问个很弱的问题,不过很头疼,明天要给老板交差。。。。
: Basel 2 的计算credit valuation adjustment (CVA),
: 公式是:
: CVA = sum of (expected exposure * DF * Conditional PD * LGD);
: expect exposure 是每个时间段的positive cash flow,
: 请问,我知道从现在开始到1年的 absolute PD is .01 (从internal rating ),
: 我只有1个 expected exposure,在30天之后,请问如何求 conditional PD,
: 谢谢,说白了就是通过 absolute PD, 如何求 conditioanl PD 的问题。

K*****Y
发帖数: 629
3
This seems to be the PD conditional on survival up to 30 days, which is
simply your forward probability of default between 30 days and matuirty date
, which can be backed out easily from the spot PD.
More specifically,
PD(0,T2) = PD(0,T1) + (1-PD(0,T1))*FPD(0,T1,T2)
where FPD(0,T1,T2)=forward probability of default between T1 and T2 as seen
from today = conditional probability of default given survivual up to T1.
Since you know your complete term structure of default probabilities (either
hi
1 (共1页)
进入Quant版参与讨论
相关主题
一个概率题who can enlighten me of this basel RWA calculation?
请教上周Credit Suisse的一个题(probability)The rise and fall of IB/quants
一道有关risky bond survival probability 的面试题quant analyst (转载)
【Probability】求pdfmarketing risk和credit risk 的offer,求比较,谢谢
求建议:职位的选择一个关于模拟的问题
credit risk scorecard一般是指retail credit risk吗?A random walk problem.
Overview of hiring in the Quants and Risk Market - 2011/2012 (from HH)an interview question of probability
[Job] ENTERPRISE RISK BUSINESS ANALYST问一道conditional probability的题
相关话题的讨论汇总
话题: pd话题: t1话题: t2话题: exposure