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Wenny · 2020年10月11日

问一道题:NO.PZ2016082406000038

问题如下:

The KMV model produces a measure called expected default frequency. Which of the following statements about this variable is correct?

选项:

A.

It decreases when the leverage of the firm falls.

B.

It increases when the stock price of the firm has been rising.

C.

It is the risk-neutral probability of default from Merton’s model.

D.

It tells investors how the default risk of a bond is correlated with the default risk of other bonds in the portfolio

解释:

ANSWER: A

The EDF, similarly to the risk-neutral PD, decreases when the stock price goes up, when the leverage goes down, or when the volatility goes down. It is a transformation of the PD from a Merton-type model. The KMV framework can be extended to finding correlations, but the EDF is not sufficient.

为什么当stock price goes up,or leverage goes down时,dd会下降?

1 个答案

小刘_品职助教 · 2020年10月11日

同学你好,

你理解错题目的意思了,题目的意思是stock price goes up,or leverage goes down时,违约概率会下降,DD本身是上升的。

从DD本身的意义来看,DD越小,违约概率越高。当 stock price上升的时候,这个企业的资产增加了,资产离违约点的距离增加,DD变大,违约概率下降;leverage goes down,负债比例下降,违约概率下降。