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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