hard · FRM Part 1
A bank finds that its 1-year cumulative probability of default for a BB-rated borrower is 3%, and if the borrower survives the first year, the conditional probability of default in the second year is 5%.
What is the 2-year cumulative probability of default?
- 15.00%
- 4.00%
- 8.00%
- 7.85%
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