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?