【FRM每日一题】二级：信用风险测量与管理（5）
备考FRM二级 | 2015-11-03
A portfolio consists of 17 uncorrelated bonds, each rated B. The 1-year marginal default probability of each bond is 5.93%. Assuming an even spread of default probability over the year for each of the bonds, what is the probability of exactly 2 bonds defaulting in the first month?A. 0.0325%
B. 0.325%
C. 0.024%
D. 0.24%
Answer: B
Given a 1-year marginal default rate of 5.93%, the 1-month marginal default rate is
.jpg){kind=small}
The number of combinations of 2 bonds from 17 bonds is 17×16/2, and so the probability of exactly 2 bonds defaulting in the first month is:
.jpg){kind=small}
【FRM奖学金】
金程FRM小编提醒：FRM通过率逐年增加，建议广大童鞋积极报考，具体可咨询金程FRM在线客服！
相关标签 FRM一级
