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A bond either defaults, or does not. You use the binomial probability distribution.
0 Default = 5C0 *[(1.2)^(50)]*[(1.8)^(55)] = 1*[(.8)^5]*1 = .32768
1 Default = 5C1 *(1.2)^(51)]*[(1.8)^(54)] = 5 *[(.8)^4]*(.2) = .4096
nCr is the combination function on the calculator. This equations gives “the probability of exactly x success in n trials”. |
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发表于 2013-4-17 18:12
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