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Lich · 2025年02月27日

如题

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2024050101000030

问题如下：

Suppose the hazard rate is constant and equal to 0.090. In this case, each of the following is true except which is false?

选项：

A.

The unconditional one-year default probability is 8.6%

B.

The two-year cumulative default probability is 16.5%

C.

The probability of joint event of survival through the first year and default in the second year is 7.9%

D.

The conditional one-year default probability, given survival through the first year, is 17.3%

解释：

The conditional one-year PD is equal to 8.6%, same as the unconditional one-year default probability.

请问，B和C怎么算的

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