NO.PZ2021120102000018
问题如下:
Which of the following statements about statistical credit analysis models is most accurate?
选项:
A.Structural credit models solve for the POD using observable
company specific variables such as financial ratios and macroeconomic
variables.
Reduced-form credit models use market-based variables to estimate an issuer’s asset value and the volatility of asset value.
Structural credit models define the likelihood of default as the probability of the asset value falling below that of liabilities.
解释:
C is correct. Structural credit models use market-based variables to estimate an issuer’s asset value and asset value volatility, defining the likelihood of default as the probability of the asset value falling below that of liabilities, with zero net assets defined as the default threshold
B说的“market-based variables”和A说的“macroeconomic variables”有什么区别吗? 就是这两个模型对于变量的使用,感觉界限有点模糊难以分清