NO.PZ2024042601000049
问题如下：
1.1 The default correlation under a single-factor credit model is 4.9%. Both credits have the same individual default probabilities of 2%. The joint default probability is characterizes by a bivariate standard normal distribution. Below listed the asset correlations implied by various joint default probabilities. What is the implied asset correlation?
选项：
A.
0.1
B.
0.15
C.
0.2
D.
0.25
代入后不是0.049*0.0196+0.02*0.98＝0.02056吗，为什么和答案不一样
