hard · Quantitative Finance prob-stats
A Markov chain for market regimes has two states: Calm and Stressed. A Calm market remains Calm with probability 0.90 and becomes Stressed with probability 0.10. A Stressed market remains Stressed with 0.75 probability.
What is the long-run probability of being in the Stressed state?
- 75.0%
- 28.6%
- 25.0%
- 10.0%
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