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: CreditRisk+
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