问题如下图：
选项：
A. 
B. 
C. 
D. 
解释：
不是应该是200*（1-（1-0.04）^2) = 15.68吗？z怎么又变成第二年违约的损失计算了。谢谢
Mr. Rosenqvist, asset manager, hol a portfolio of SEK 200 million, whiconsists of BBB-ratebon. Assume ththe one-yeprobability of fault is 4%, the recovery rate is 60%, anfaults are uncorrelateover years. Whis the two-yecumulative expectecret loss on Mr. Rosenqvist’s portfolio? SEK 6.40 million SEK 6.27 million SEK 9.60 million SEK 9.48 million ANSWER: B The survivrate over two years is S2=(1−4%)2=92.16%S_2={(1-4\%)}^2=92.16\%S2=(1−4%)2=92.16% , whiimplies a cumulative two-yefault rate of 7.84%. Put fferently, the first-yePis 4%, then (1−4%)4%=3.84%{(1-4\%)}4\%=3.84\%(1−4%)4%=3.84%. Multiplying 200 an40% gives 6.27. 可以先算出第一年的EL=4% * （1-60%）* 200=3.2 M 第二年的EL=96%*4%*200*（1-60%）=3.072M 再把二年的相加可以么
Mr. Rosenqvist, asset manager, hol a portfolio of SEK 200 million, whiconsists of BBB-ratebon. Assume ththe one-yeprobability of fault is 4%, the recovery rate is 60%, anfaults are uncorrelateover years. Whis the two-yecumulative expectecret loss on Mr. Rosenqvist’s portfolio? SEK 6.40 million SEK 6.27 million SEK 9.60 million SEK 9.48 million ANSWER: B The survivrate over two years is S2=(1−4%)2=92.16%S_2={(1-4\%)}^2=92.16\%S2=(1−4%)2=92.16% , whiimplies a cumulative two-yefault rate of 7.84%. Put fferently, the first-yePis 4%, then (1−4%)4%=3.84%{(1-4\%)}4\%=3.84\%(1−4%)4%=3.84%. Multiplying 200 an40% gives 6.27. 请问算出第一年不违约，第二年违约的概率3.84%的作用是什么呢
