FRM二级考试科目《信用风险测量与管理》:Credit risk rate

Consider a 1-year maturity zero-coupon bond with a face value of USD 1,000,000 and a 0%recovery rate issued by Company A.the bond is currently trading at 80%of face value.Assuming the excess spread only captures credit risk-free rate is 5%per snnnum,the risk-neutral 1-year probability of default on Company A is closest to which of the following?
 
A.2%
 
B.14%
 
C.16%
 
D.20%
 
FRM二级考试科目《市场风险测量与管理》
 
 
Answer:C
FRM二级考试科目《信用风险测量与管理》
 
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