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410140980 · 2023年07月18日

KMV model当中的asset value

NO.PZ2020033003000020

问题如下:

Which of the following is feature of the KMV model ?

I. The risk factors are common across all obligors, but sensitivity to the risk factors differs across obligors.

II.In the KMV model, we can observe a firm’s asset value and volatility directly from the market, figures could be obtained using current equity value.

选项:

A.

I only.

B.

II only.

C.

Both I and II.

D.

Neither I nor II.

解释:

B is correct.

考点:The KMV Approach and Estimation Approaches

解析:I描述的是CreditRisk+的特征。

在KMV中firm’s asset value 不是市场上直接观察的,是蒙特卡洛模拟出来的,那为什么II还对呢?

1 个答案

李坏_品职助教 · 2023年07月18日

嗨,努力学习的PZer你好:


II主要想说的意思是我们可以用equity value推算出firm value,这句话中间部分表达的确实有一些歧义,我来反馈一下,多谢同学提醒。



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努力的时光都是限量版,加油!

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