NO.PZ2020011303000101
问题如下:
If the hazard rate is 1.5% per year for the first three years and 2.5% per year for the next three years, what is the probability of default during the first two years? What is the average hazard rate for the first five years? What is the probability of default between years two and five?
选项:
解释:
The probability of default during the first two years is 1-exp(−0.015 × 2) = 0.02955. The average hazardrate during the first five years is (1.5 × 3 + 2.5 × 2)/5 = 1.9%. The probability of default during the first five years is 1-exp(−0.019 × 5) = 0.09063. The probability of default between years two and five is 0.09063 − 0.02955 = 0.06107.
为什么2-5年违约概率中5年用的是平均hazard rate而不是对应的第5年的hazard rate?