问题如下:
A portfolio of bonds consists of five bonds whose default correlation is zero. The one-year probabilities of default of the bonds are: 1%, 2%, 5%, 10%, and 15%. What is the one-year probability of no default within the portfolio?
选项: 71%
67%
C.85%
D.99%
解释:
ANSWER: A
Because the events are independent, the joint probability is given by the product
老师你好,这道题的答案解析有误
应该是
(1−1%)(1−2%)(1 − 5%)(1 − 10%)(1−15%)=70.51%.
吧?
谢谢