问题如下:
Company ABC was incorporated on January 1, 2004. It has an expected annual default rate of 10%. Assuming a constant quarterly default rate, what is the probability that company ABC will not have defaulted by April 1, 2004?
选项:
A.2.40%
B.2.50%
C.97.40%
D.97.50%
解释:
ANSWER: C
The probability of survival for one year is . This gives a probability of surviving the first quarter of .
答案计算的d不是一个年化的概念了,只是一个季度的违约概率是吗?什么时候用年化,什么时候直接计算季度?