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%
老师您好,请问下hazard rate是表示在有条件的情况下的违约概率,那比如3=0.35%意思就是第一年第二年没有违约,第三年违约的概率是0.35%,没错吧?假设题目问在第四年的违约概率是多少,是不是不用计算直接选0.5%就可以了?