【FRM每日一题】二级：信用风险测量与管理（7）
备考FRM二级 | 2015-11-23
The risk-free rate on a 1-year Treasury bill (T-bill) is 3% and the implied probability of default on a 1-year zero-coupon corporate note is 3%, the promised rate of return on the corporate note is closest to: A.6.25%
B.6.50%
C.6.77%
D.6.19%
Answer: D
The probability of default is defined as “1 - p”, and can be calculated with the following formula:
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