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小熊猫 · 2023年11月07日

这道题问的是the end of next year难道不是两年后？

  1. FRM I
  2. Valuation And Risk Models

NO.PZ2023091701000122

问题如下：

A credit analyst covers a portfolio of 10 bonds that are all currently rated investment grade. Under the company's portfolio investment guidelines, no more than two bonds in the portfolio may be rated non-investment grade. The analyst has estimated that each bond has a 20% probability of being downgraded to non-investment grade over the following year and each downgrade is independent of other downgrades. What is the estimated probability that more than two bonds in the portfolio will be rated non-investment grade at the end of next year?

选项：

A.32.2%
B.37.6% C.62.3% D.67.8%

解释：

答案只算了一年的

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DD仔_品职助教 · 2023年11月07日

嗨，努力学习的PZer你好：


评级下调是在第二年发生的，现在给出的概率就是at the following year，所以跟到底多少年是没有关系的

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