NO.PZ2024050101000032
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%
B.
10.0%
C.
11.3%
D.
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:
老师好，我这个式子哪里列错了吗？
