Liu2020-09-13 15:41:50
Liu關於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?
回答（1）
Cindy2020-09-14 16:22:02
Cindy同学你好，
question 1: unconditional PD 1% 就是常规情况下的违约概率
question 2: (-2.33-(-0.4))/0.9165 should be = -2.158, 这个-2.158是正态分布的分位点，我们算的是违约概率，所以要用正态分布查表，得出违约概率是1.8%
question 3: "unconditional PD 3% or 4%" ,需要先查表，查表3%和4%的概率对应的分位点，替换前面公式里的-2.33，-2.33代表的是1%的面积对应的正态分布的分位点
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