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小宋宋 · 2020年08月22日

问一道题:NO.PZ2016082405000020

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.

这题没有理解,答案是B,但是又说是statement 1 正确,没搞懂

1 个答案

小刘_品职助教 · 2020年08月23日

同学你好,

你需要仔细看一下解析。

解析里说的是Statement I 是Credit Risk+ 的特点,不是KMV的特点,因此不选,跟答案没有矛盾。

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