NO.PZ2023091601000028
问题如下:
Afixed income portfolio manager currently holds a portfolio of bonds of variouscompanies. Assuming all these bonds have the same annualized probability ofdefault and that the defaults are independent, the number of defaults in thisportfolio over the next year follows which type of distribution?
选项:
A.
Bernoulli
B.
Normal
C.
Binomial
D.
Exponential
解释:
The result wouldfollow a Binomial distribution as there is a fixed number of random variables,each with the same annualized probability of default. It is not a Bernoullidistribution, as a Bernoulli distribution would describe the likelihood ofdefault of one of the individual bonds rather than of the entire portfolio(i.e. a Binomial distribution essentially describes a group of Bernoullidistributed variables). A normal distribution is used to model continuousvariables, while in this case the number of defaults within the portfolio isdiscrete.
考察违约次数即为离散分布,由于银行贷款数量一般较多,优先考虑泊松分布,若无泊松分布,退而求其次选择正态分布,一般也不会有二项分布与泊松分布两个选项吧 考察违约时间间隔时用指数分布