ysr1990 · 2020年05月30日
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：
A. Credit
ratings
B. 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.
这些model不是没有考虑credit spread吗。
Seniority Equity prices Cret sprea ANSWER: C CretMetriuses cret ratings, the transition matrix, recovery rates, anLGfor various seniorities, but not equity prices for the obligor. 这幅图里面明明写了cret metrifrom equities啊
When termining the stanrviation of value e to cret quality changes for a single exposure, the CretMetrimol uses three primary factors. Whiof the following is not one of the factors usein this mol? Cret ratings Seniority Equity prices Cret sprea ANSWER: C CretMetriuses cret ratings, the transition matrix, recovery rates, anLGfor 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cret spre另外，seniority是怎么体现出来的
