400-700-9596

首页>备考规划>备考FRM二级>【FRM每日一题】二级:信用风险测量与管理(5)

【FRM每日一题】二级:信用风险测量与管理(5)

发表时间:2015/11/3 9:58:18 编辑:小T 告诉小伙伴:
0

[编考按]A portfolio consists of 17 uncorrelated bonds, each rated B. The 1-year marginal default probability of each bond is 5.93%. Assuming an even spread of default probability over the year for each of the bonds, what is the probability of exactly 2 bonds defaulting in the first month...

   A portfolio consists of 17 uncorrelated bonds, each rated B. The 1-year marginal default probability of each bond is 5.93%. Assuming an even spread of default probability over the year for each of the bonds, what is the probability of exactly 2 bonds defaulting in the first month?

  A. 0.0325%

  B. 0.325%

  C. 0.024%

  D. 0.24%

  Answer: B

  Given a 1-year marginal default rate of 5.93%, the 1-month marginal default rate is

  

  The number of combinations of 2 bonds from 17 bonds is 17×16/2, and so the probability of exactly 2 bonds defaulting in the first month is:

  

FRM奖学金


  金程FRM小编提醒:FRM通过率逐年增加,建议广大童鞋积极报考,具体可咨询金程FRM在线客服

最新直播 课程主题: 2017年11月FRM二级网校直播之巴塞尔资本充足率管理开课时间: 10 月 18 日  |   07-30-00- 09-00-00

全国分校
TOP

登录金程教育

注册金程帐号合作帐号直接登录

注册金程教育

  •   验证码

  • 同意金程的《用户协议》

已有账号马上登录合作帐号直接登录