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pz-stepsutake · 2020年02月23日

问一道题:NO.PZ2016082406000091

问题如下:

Which of the following credit risk models uses the option-theoretic approach for modeling correlation between the credit-risky assets?

选项:

A.

CreditRisk+

B.

CreditMetrics

C.

KMV for public firms

D.

Both CreditMetrics and KMV for public firms

解释:

ANSWER: C

KMV estimates default probabilities using the Merton approach based on the company’s stock price.

题面,什么是 option-theoretic approach。。。怎么理解

1 个答案

品职答疑小助手雍 · 2020年02月23日

emmm就是从期权定价理论衍生出来的模型,KMV和merton都是从BSM那边衍生过来的嘛