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【FRM每日一题】二级:信用风险测量与管理(7)

【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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