Question: 21 Exercise 8 am EXAMPLE 20.7: FRM EXAM 2006-QUESTION 21 What is the survival rate at the end of three years if the annual default

21 Exercise 8 am EXAMPLE 20.7: FRM EXAM 2006-QUESTION 21 What is the survival rate at the end of three years if the annual default probabilities are 8%, 12%, and 15% in the first, second, and third years, respectively? a. 68.8% b. 39.1% c. 99.9% d. 65.0%

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