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宇同学2022-12-30 21:56:22

Suppose the prospects for recovering principal for a defaulted bond issue depend on which of two economic scenarios prevails. Scenario 1 has probability 0.75 and will result in recovery of $0.90 per $1 principal value with probability 0.45, orin recovery of $0.80 per $1 principal value with probability 0.55. Scenario 2 has probability 0.25 and will result in recovery of $0.50 per $1 principal value with probability 0.85, or in recovery of $0.40 per $1 principal value with probability 0.15. A. Compute the probability of each of the four possible recovery amounts: $0.90, $0.80, $0.50, and $0.40. B. Compute the expected recovery, given the first scenario. C. Compute the expected recovery, given the second scenario. D. Compute the expected recovery. E. Graph the information in a probability tree diagram. 图为我做题的过程,B、C、D这三问题,算出来的结果跟答案不一样?我到底错在哪个地方?

回答(1)

Evian, CFA2023-01-03 13:45:09

ヾ(◍°∇°◍)ノ゙你好同学,

B和C都是在一定条件下求期望。(计算过程如下图所示)
例如B是在first scenario成立的条件下,计算期望。first scenario既然已经成立,那么计算就不考虑75%和25%。
同理C。

D是考虑first scenario和second scenario两种情况下的期望,此时要考虑75%和25%。
D所求概率=B和C所求概率之和。
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