NO.PZ2023091701000126
问题如下：
A credit risk analyst at a wholesale bank is estimating annual default probabilities of a 5-year loan that has just been extended to a corporate borrower. The analyst determines from rating agency data that the 5-year cumulative default probability of bonds from this borrower with identical terms and seniority is 6.2%, and uses this information to calculate the 5-year survival rate for the borrower. If the borrower’s average hazard rate for the first 4 years of the loan is 1.1%, what is the unconditional default probability of the borrower during year 5 of the loan?
选项：
A.1.71% B.1.80% C.1.90% D.1.98%解释：
C is correct. The unconditional default probability between the end of year 4 and the end of year 5 is calculated as
in the equation above represents the probability of survival (or survival rate) to the end of year 5. This is equal to one minus the cumulative default probability to the end of year 5, given as 6.2%. Therefore, the 5-year survival rate is
1−0.062=0.938
and the unconditional default probability during the fifth year of the loan is
𝑒𝑥𝑝(−0.011∗4)−0.938=0.956954−0.93800= 0.01895 𝑜𝑟 1.895%
谢谢
