NO.PZ2024042601000032
问题如下：
A risk analyst is evaluating the credit qualities of a financial institution and its counterparties assuming stress conditions prevail over the next 2 years. The analyst assesses the possibility of the financial institution defaulting on its counterparties and uses this information to estimate its debt valuation adjustment. The 1-year CDS on the financial institution currently trades at 240 bps. The analyst assumes a constant recovery rate of 80% for the financial institution and a constant correlation between the credit spread of the financial institution and the credit spread of the counterparties. Assuming a constant hazard rate process, what is the probability that the financial institution will survive in the first year and then default before the end of the second year?
选项：
A.8.9%
10.0%
11.3%
21.3%
解释：
This question requires one to first find the hazard rate (λ), which is estimated as follows:
λ= Spread/(1 – recovery rate) = [(240/10,000)/(1 – 0.8)] = 0.12 = 12.0%
Thus, 12.0% is the constant hazard rate per year. The joint probability of survival up to time t and default over (t, t+τ) is:
The joint probability of survival the first year and defaulting in the second year is:
the probability that the financial institution will survive in the first year and then default before the end of the second year和conditional one-year default probability, given survival through the first year为什么算法不一样
