沉睡宝宝鸭 · 2024年10月07日
NO.PZ2020033002000091
问题如下：
Which of the following credit risk model(s) use(s) the option-theoretic approach for modeling correlation between the credit-risky assets?
I. CreditRisk+
II. CreditMetrics
III. KMV for public firms
选项：
A.
I & II
B.
I & III
C.
II & III
D.
III only.
解释：
D is correct.
考点：KMV
解析：
KMV estimates default probabilities using the Merton approach based on the company’s stock price.
可否延伸对比一下 这三个模型其他的不同点
pzqa27 · 2024年10月08日
嗨，努力学习的PZer你好：
题目问的是“ use(s) the option-theoretic approach for modeling correlation between the credit-risky assets”强调了option-theoretic所以是III
具体模型特点的分析，同学可以参考这几个视频，对应的讲义上有各个模型特点的总结，我这里就不复制粘贴了，如果有疑问，我们可以进一步讨论。
----------------------------------------------努力的时光都是限量版，加油！
NO.PZ2020033002000091问题如下 Whiof the following cret risk mol(s) use(s) the option-theoretic approafor moling correlation between the cret-risky assets?I. CretRisk+II. CretMetricsIII. KMV for public firms A.I IIB.I IIIC.II IIIIII only. is correct.考点KMV解析 KMV estimates fault probabilities using the Merton approabaseon the company’s stoprice. 如题 cret risk+是什么
NO.PZ2020033002000091 想问下什么叫option-theoretic approach呢，基础讲义里面那里有讲到吖
