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卡卡西一号 · 2020年03月03日

问一道题:NO.PZ2016082406000017

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 S=(1d)=(1dQ)4S=(1-d)={(1-d^Q)}^4. This gives a probability of surviving the first quarter of (1dQ)=(10.10)14=0.974(1-d^Q)={(1-0.10)}^\frac14=0.974.

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?

1 个答案

品职答疑小助手雍 · 2020年03月03日

同学你好,题面明确描述了是1-4月1号的违约概率,所以题目都会明确的问XX期限的违约概率的。