问一道题：NO.PZ2016082406000011 [ FRM II ]

问题如下：

A portfolio of bonds consists of five bonds whose default correlation is zero. The one-year probabilities of default of the bonds are: 1%, 2%, 5%, 10%, and 15%. What is the one-year probability of no default within the portfolio?

选项：

71%

67%

85%

99%

解释：

ANSWER: A

Because the events are independent, the joint probability is given by the product ${(1-p_1)}{(1-p_2)}{(1-p_3)}{(1-p_4)}{(1-p_5)}={(1-1\%)}{(1-2\%)}{(1\text{ }-\text{ }5\%)}{(1\text{ }-\text{ }10\%)}{(1-20\%)}=70.51\%.$

为什么不能用1-0.01*0.02*0.05*0.1*0.15=0.99算

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品职答疑小助手雍 · 2020年03月05日

同学你好，你这个式子算出来的是几个债券一起违约的概率，然后用1减这个概率。

得到的是至少存活一个的概率。

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A portfolio of bon consists of five bon whose fault correlation is zero. The one-yeprobabilities of fault of the bon are: 1%, 2%, 5%, 10%, an15%. Whis the one-yeprobability of no fault within the portfolio? 71% 67% 85% 99% ANSWER: A Because the events are inpennt, the joint probability is given the pro(1−p1)(1−p2)(1−p3)(1−p4)(1−p5)=(1−1%)(1−2%)(1 − 5%)(1 − 10%)(1−20%)=70.51%.{(1-p_1)}{(1-p_2)}{(1-p_3)}{(1-p_4)}{(1-p_5)}={(1-1\%)}{(1-2\%)}{(1\text{ }-\text{ }5\%)}{(1\text{ }-\text{ }10\%)}{(1-20\%)}=70.51\%.(1−p1)(1−p2)(1−p3)(1−p4)(1−p5)=(1−1%)(1−2%)(1 − 5%)(1 − 10%)(1−20%)=70.51%. 老师你好，这道题的答案解析有误应该是 (1−1%)(1−2%)(1 − 5%)(1 − 10%)(1−15%)=70.51%. 吧？谢谢

2020-03-19 21:12 1 · 回答

问一道题：NO.PZ2016082406000011 [ FRM II ]

1 个答案

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