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Shawnxz · 2019年04月05日

问一道题：NO.PZ201812310200000110 第10小题

  1. CFA II
  2. Fixed Income

* 问题详情，请 查看题干

问题如下图：

    

选项：

A.

B.

C.

解释：


请问这里POD和Exposure是怎么算出来的？具体过程是shen什么？为啥我算出来不对呢？谢谢

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吴昊_品职助教 · 2019年04月05日

第一年的POD=1.5%*(1-25%)=1.125%，第二年的POD=1.125%*(1-1.125%)=1.1123%，第三年的POD=1.125%*(1-1.125%)^2=1.0998%，第四年的POD=1.125%*(1-1.125%)^3=1.0875%

exposure的具体计算在前面的第八小题中列出：

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