NO.PZ2020033003000101
问题如下：
In Moody’s KMV model, when the distance to default is known, we can calculate the expected default frequency (EDF, the same as default probability). Which of the following statement is correct?
选项：
A.The distance to default is 1.96, so we can calculate the default probability is 2.5%.
B.The distance to default is 1.96, so we can calculate the default probability is 5%.
C.If we use Merton model rather than Moody’s KMV model, the distance to default is 1.96, we can calculate the default probability is 5%.
D.The distance to default is 1.96, we map this number to the probability of default table made basing on historical data, and find the corresponding number is 1.2%,so the default probability is 1.2%.
解释：
D is correct.
考点：The KMV Approach and Estimation Approaches
解析：KMV模型并没有假定违约概率服从正态分布，使用历史上的违约概率。是通过将违约距离映射到基于历史数据制作的违约概率表来计算违约概率的。
Merton模型假设了违约概率服从正态分布，1.96对应的违约概率应该是2.5%。
老师这里的1.96的分位点对应1.2%是通过查表得到的吗？
