题目
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
A.71%
B.67%
C.85%
D.99%
答案
A
解析
Probability=(1-1%)×(1-2%)×(1-5%)×(1-10%)×(1-15%)=71%Probability=(1-1%)×(1-2%)×(1-5%)×(1-10%)×(1-15%)=71%