Of all the bonds currently rated B, 20% will default over an investor's horizon. Th variance of the number of defaults in a randomly selected 40-bond protfolio over the investor's horizon?
For binomial distributed variables, the second moment (variance) is equal to N times p times q, where q=1-p. It is one of the formulas in stochastic processes. If you do not understand it, check related textbooks, or memorize it.
发表于 2007-8-31 14:53
|