Actually, I was wrong about the definition

来源: 于 2007-04-11 14:38:44 [博客] [旧帖] [给我悄悄话] 本文已被阅读：次

My answer is for the recovery probability as 98%, the default loss probability should then be 2%.

If the multiple answer choice are for the dollar amount, it's easier as just applying $18M on 2%*(1-35%) plus $10M on 6%*(1-35%). The final answer should be 0.516, or the choice should be C.