题目
The annual marginal probability of default of a bond is 15% in year 1 and 20% in year 2. What is the probability of the bond surviving (i.e. no default) to the end of two years?
选项
A.68%
B.65%
C.80%
D.85%
答案
A
解析
Probability (no default)=(1-15%)×(1-20%)=68%Probability (不违约)=(1-15%)×(1-20%)=68%