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小宋宋 · 2020年08月22日

问一道题:NO.PZ2016082405000101

问题如下:

The Merton model and the Moody's KMV model use different approaches to determine the probability of default. Which of the following is consistent with Moody’s KMV model?

选项:

A.

The distance to default is 1.96, so there is a 2.5% probability of default.

B.

The distance to default is 1.96, so there is a 5.0% probability of default.

C.

The historical frequency of default for corporate bonds has been 6%. Updating this with Altman's Z-score analysis would provide a probability of default that is somewhat different than 6%.

D.

The distance to default is 1.96 and, historically, 1.2% of firms with this characterization have defaulted, so there is a 1.2% probability of default.

解释:

D Moody’s KMV model evaluates the historical frequency of default for films with similar distances to default and uses this as the probability of default.

这题是啥意思,是说KMV model 更加贴近实证数据,是Merton的修正?

1 个答案

袁园_品职助教 · 2020年08月24日

同学你好!

Moody's KMV相对Merton Model的最大区别是没有假设违约概率服从正态分布,而是使用历史上的违约概率。