时间:2018-03-30 16:15 作者:FRM 来源:FRM
The marginal probability of default for years one and two is 0.5% and1.1 %,respectively.
Ifthe cumulative probability of default for the 3-year period is 4.45%, the marginal probability of default for year three is closest to:
A. 2.8%
B. 3.2%
C. 2.9%
D. 2.7%
Answer:C
The cumulative probability of default is equal to one minus the probability of surviving to the end ofthe period without default:
C3 =1 一(1-Pl)(1 一 P2 )(1 一 P3)0.0445 = 1-(1-0.005)(1-0.01 ~)(1-P3)*P3 =2.9%
本题翻译为:
第一年和第二年的边际违约概率分别为0.5%和1.1%。
如果三年期累计违约概率为4.45%,那么第三年违约的边际概率最接近于:
A. 2.8%
B. 3.2%
C. 2.9%
D. 2.7%
答案:C
累计违约概率等于1减去未违约期间存活到期末的概率:
C3 = 1一(1-P1)(1一P2)(1一P3)0.0445 = 1-(1-0.005)(1-0.01-)(1-P3)* P3 = 2.9%
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