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标题: [求助]请教大家一个问题~~!有人能帮忙解释一下吗? [打印本页]

作者: liondaisy    时间: 2007-8-31 14:53     标题: [求助]请教大家一个问题~~!有人能帮忙解释一下吗?

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?

The answer is : 0.2*0.8*40=6.4

But why?THX


作者: teamzhang    时间: 2007-8-31 15:31

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.





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