文章目录
4. Measurement of Probability of Default from Bond Prices
1. Risk Neutral Probability of Default
P = 100 1 + YTM = ( 100 1 + R f ) × ( 1 − PD ) + ( 100 × RR 1 + R f ) × PD P=\cfrac{100}{1+\text{YTM}}=\left(\cfrac{100}{1+R_f}\right)\times(1-\text{PD})+\left(\cfrac{100\times \text{RR}}{1+R_f}\right)\times \text{PD} P=1+YTM100=(1+Rf100)×(1−PD)+(1+Rf100×RR)×PD
→ P D = 1 1 − R R ( 1 − 1 + R f 1 + YTM ) = 1 LGD ( YTM − R f 1 + YTM ) \to PD=\cfrac{1}{1-RR}\left(1-\cfrac{1+R_f}{1+\text{YTM}}\right)=\cfrac{1}{\text{LGD}}\left(\cfrac{\text{YTM}-R_f}{1+\text{YTM}}\right) →PD=1−RR1(1−1+YTM1+Rf)=LGD1(1+YTMYTM−Rf)
→ YTM − R f ≈ P D × L G D → YTM ≈ R f + P D × L G D \to \text{YTM}-R_f\approx PD\times LGD\to \text{YTM}\approx R_f+PD\times LGD →YTM−Rf≈PD×LGD→YTM≈Rf+PD×LGD
- YTM \text{YTM} YTM: market determined yield
- PD \text{PD} PD: risk neutral probability of defualt
- RR \text{RR} RR: recovery rate
- LGD \text{LGD} LGD: loss given default
2. Objective Probability of Default
P ∗ = 100 1 + YTM = ( 100 1 + R f + RP ) × ( 1 − PD ∗ ) + ( 100 × RR 1 + R f + RP ) × PD ∗ P^*=\cfrac{100}{1+\text{YTM}}=\left(\cfrac{100}{1+R_f+\text{RP}}\right)\times(1-\text{PD}^*)+\left(\cfrac{100\times \text{RR}}{1+R_f+\text{RP}}\right)\times \text{PD}^* P∗=1+YTM100=(1+Rf+RP100)×(1−PD∗)+(1+Rf+RP100×RR)×PD∗
→ YTM − R f − RP = PD ∗ ( 1 − RR ) \to \text{YTM}-R_f-\text{RP}=\text{PD}^*(1-\text{RR}) →YTM−Rf−RP=PD∗(1−RR)
- PD ∗ \text{PD}^* PD∗ is the real-world probability of default
- RP \text{RP} RP is the risk premium (liquidity premium and tax effects)
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