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Amy · 2023年11月12日

Z-score 得到的打分算是PD嘛?

NO.PZ2020033003000015

问题如下:

In which of the following method,can score be considered as a probability of default?

选项:

A.

Parametric discrimination.

B.

K-nearest neighbor approach.

C.

Support vector machines.

D.

All of the above.

解释:

A is correct.

考点:Quantitative methodologies for credit analysis and scoring

解析:In Parametric discrimination, the score function is used to segregate the classes among subgroups, such as logit and probit model, in which the score can be considered as a probability of default.

如标题。

1 个答案
已采纳答案

李坏_品职助教 · 2023年11月12日

嗨,努力学习的PZer你好:


不是的,Z score的结果相当于是在对公司进行分类,Z分数小于1.8的属于破产类,Z大于2.99是安全类。这个和B选项的K近邻分类比较像。

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努力的时光都是限量版,加油!