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Emmmmmmmua · 2022年10月17日

EDF

NO.PZ2020033002000038

问题如下:

The KMV model is used to calculate the expected default frequency. Regarding the sensitivity of expected default frequency, which of the following is not correct?

选项:

A.

When the company's leverage decreases, the company is less likely to default.

B.

When the company's stock price rises, the company is less likely to default.

C.

The expected default frequency is the same as the risk-neutral probability of default from Merton’s model.

D.Capital structure assumption is more complicated in the KMV model than in Merton model.

解释:

C is correct.

考点:The KMV Approach

解析:KMV得到的EDF用的是ROA,而risk-neutral PD是在假设期望收益是rf的情况下得到的,所以不一样。

Merton求的risk-neutral PD 是不是 比KMV求的EDF要高?



1 个答案
已采纳答案

DD仔_品职助教 · 2022年10月18日

嗨,努力学习的PZer你好:


可以这么说,因为KMV模型比Merton模型更加复杂,所以更接近真实情况。那么risk neutral PD是大于真实的PD的,所以按原理来讲你的结论是正确的。

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