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: Stock
prices
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?