问题如下:
If the default probability for an A-rated company over a three-year period is 0.3%, the most likely probability of default for this company over a six-year period is:
选项: 0.30%
Between 0.30% and 0.60%
C.0.60%
D.Greater than 0.60%
解释:
ANSWER: D
The marginal default rate increases with maturity. So, this could be, for example, 0.50% over the last three years of the six-year period. This gives a cumulative default probability greater than 0.60%.
请问以下思路来做的话为何不对:
三年作为一个考核的周期,
六年内违约等于前三年违约的概率加上前三年不违约、后三年违约的概率,即0.3%+(1-0.3%)*0.3%<0.6%