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LHY · 2020年07月18日

问一道题：NO.PZ2016082405000020

  1. FRM II
  2. Credit Risk Measurement And Management

问题如下：

Which of the following is a characteristic of the KMV model?

I. Each obligor has its own sensitivity to each of the common risk factors.

II. It includes an estimate of correlation between firm values based on the correlation between observed equity values.

选项：

A.

I only.

B.

II only.

C.

Both I and II.

D.

Neither I nor II.

解释：

B Statement I is only true for Credit Risk+. Statement II is a characteristic and major advantage of the KMV model.

所以KMV的公司Value就是公开市场equity的价格？对于没有公开市场交易的equity也是和Merton一样假设是可以获得的？


由于KMV对于Merton只有在 1、单一bond和 2不用假设log分布两个方面有优势，所以其实对于资产价格的问题都是有明显缺陷的，对吧？

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1 个答案

小刘_品职助教 · 2020年07月18日

同学你好，

在实践中要运用KMV模型中，确实公司Value就会取自于公开市场的价格（即上市企业），对于没有公开市场交易的equity，如果你想用KMV模型没有办法做的，第二个你说的是对的。

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