题目
Given the 1 year transition matrix below, what is the probability that a company that is currently B rated will default over a given two year period?「huixue_img/importSubject/1564170387972034560.png」
选项
A.10.0%
B.18.0%
C.18.5%
D.20.0%
答案
C
解析
The first period probability of default for a B- rated bond is 10%.In second period, the probability of default is the probability of surviving year 1 and defaulting in year 2:The year 2 probability of default=(10%×5%) ＋(80%×10%)=8.5%Therefore, the two-period cumulative probability of default =10%＋8.5%=18.5%. B级债券在第一期违约概率为10％。 在第二阶段，违约的概率是第一年未违约且第二年违约的概率： 第二年违约的概率=(10%×5%) ＋(80%×10%)=8.5% 因此，两年的累计违约概率为=10%＋8.5%=18.5%