问题如下:
When determining the standard deviation of value due to credit quality changes for a single exposure, the CreditMetrics model uses three primary factors. Which of the following is not one of the factors used in this model?
选项: Credit
ratings
Seniority
C.Equity prices
D.Credit spreads
解释:
ANSWER: C
CreditMetrics uses credit ratings, the transition matrix, recovery rates, and LGD for various seniorities, but not equity prices for the obligor.
请问,为什么不选C?讲义341页,提到大部分模型都没考虑credit spread
另外,seniority是怎么体现出来的