李同學(xué)
2018-10-23 11:25老師，這個(gè)題能給一下解題步驟嗎，不知道用哪個(gè)公式算的，謝謝
所屬：FRM Part II 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個(gè)回答
Galina助教
2018-10-23 18:19
該回答已被題主采納
The probability of default equals the credit risk spread divided by the loss given default. PD = spread/LGD. Here, the spread due to credit risk equals 2.0% - 0.8% or 1.2% and the loss given default is 60%. The probability of default is then 2%.
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