You are assessing a credit portfolio with 100 issuers where the hazard rate of default of each name is 0.05. The default correlation of all firms (pairwise) is zero. What is the average time it will take for 10% of the portfolio to default?
A) 1/5 year
B) 1/2 year
C) 1 year
D) 2 years

Question

You are assessing a credit portfolio with 100 issuers where the hazard rate of default of each name is 0.05. The default correlation of all firms (pairwise) is zero. What is the average time it will take for 10% of the portfolio to default? 
A) 1/5 year
B) 1/2 year
C) 1 year
D) 2 years

Quizplus · Accepted Answer

The Answer of You are assessing a credit portfolio with 100 issuers where the hazard rate of default of each name is 0.05. The default correlation of all firms (pairwise) is zero. What is the average time it will take for 10% of the portfolio to default? 
A) 1/5 year
B) 1/2 year
C) 1 year
D) 2 years

You Are Assessing a Credit Portfolio with 100 Issuers Where