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 |
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