问题如下:
Which of the following credit risk models uses the option-theoretic approach for modeling correlation between the credit-risky assets?
选项: CreditRisk+
CreditMetrics
C.KMV for public firms
D.Both CreditMetrics and KMV for public firms
解释:
ANSWER: C
KMV estimates default probabilities using the Merton approach based on the company’s stock price.
老师KMV是怎么用option-theoretic approach for modeling correlation考虑相关性的,后面讲了两种方法求rho一种是直接算,另一种是single factor,好像KMV都不涉及;
另外,Credit matrix 是考虑相关性的,是吧?但是感觉是从历史法,是吗?