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标题: [ 2009 FRM Sample Exam ] Quantitative Analysis Q25 [打印本页]

作者: lalamei 时间: 2009-6-13 11:11 标题: [ 2009 FRM Sample Exam ] Quantitative Analysis Q25

25. Given the following ratings transition matrix, calculate the two-period cumulative probability of default for a 'B' credit.

A. 2.0%

B. 2.5%

C. 4.0%

D. 4.5%

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作者: lalamei 时间: 2009-6-13 11:11

Correct answer is Dfficeffice" />

The first period probability of default for a B-rated bond is 2%. In second period the probability of default is the probability of surviving year 1 and defaulting in year 2.

The year 2 probability of default = (0.03 * 0.00) + (0.90 * 0.02) + (0.05*0.14) = 2.5%.

Therefore, the two-period cumulative probability of default = 2% + 2.5% = 4.5%.

作者: lumi 时间: 2009-7-16 15:27

谢谢

作者: wuna 时间: 2009-7-31 16:31

非常感谢

作者: vory 时间: 2009-8-28 17:05

顶

作者: alexbao 时间: 2010-3-9 15:19

3x3x3x3x3x3x3x3x

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