NO.PZ2019011002000022
问题如下:
Bond C is a five-year investment-grade bond. The information above its hazard rate is shown in the table below:
Based on the information above, the probability of the company default on the bond during the first 4 years is closest to:
选项:
A.0.15%
B.1.24%
C.0.50%
解释:
B is correct
考点:对Hazard rate的理解
解析:
由表格可以知道第一年存活的概率为:100%-0.15%=99.85%
第二年、第三年、第四年存活的概率分别为:
100%-0.25% = 99.75%
100%-0.35% = 99.65%
100%-0.50% = 99.50%
因此,该债权从第一年存活至第四年的概率为:
99.85%×99.75%×99.65%×99.50%=98.7555%;
因此在这四年里,违约的概率为:1-98.7555%=1.24%
老师,没太明白,如果问前四年内违约的概率,为什么都要用四年的不违约的概率相乘呢,没太绕过来这个弯,请老师帮忙梳理一下