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和棋 · 2020年11月05日

问一道题:NO.PZ2016082406000036

问题如下:

Among the following variables, which one is the main driver of the probability of default in the KMV model?

选项:

A.

Stock prices

B.

Bond prices

C.

Bond yield

D.

Loan prices

解释:

ANSWER: A

Stock prices are the main driver of KMV’s estimated default frequency (EDF), because they drive the value of equity. These models also use the volatility of asset values and the value of liabilities.

KMV在计算ROA的时候,包括计算thredshold的时候应该也用到了债的价值的吧?为什么不选Bond Price呢?还是说改成bond的face value这道题就能选了呢?

1 个答案

小刘_品职助教 · 2020年11月06日

同学你好,

KMV的原理是用公司资产的价值去比照一个threshold,确实在threshold的时候用到了债的价值,但是这个债是公司的对外债务,相对来说可以看做是一个不变量,stock price变化频率更高,所以相比债券来说更应该是main driver。

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2019-11-10 00:24 1 · 回答

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