题目
Given the following ratings transition matrix, calculate the two-period cumulative probability of default for a 'B' credit.「huixue_img/importSubject/1564170389406486528.png」
选项
A.2.0%
B.2.5%
C.4.0%
D.4.5%
答案
D
解析
解析The first period probability of default for a B- rated bond is 2%.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=(0.03×0.00)+(0.90×0.02)+(0.05×0.14)=2.5%.Therefore, the two-period cumulative probability of default =2%+2.5%=4.5%.