金融民工阿聪 · 2021年03月10日
NO.PZ2016082406000091
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.
为什么KMV后面要加for public firms?上市和不上市有啥区别吗，KMV不就是可以模拟不上市的公司的股票价格吗
Whiof the following cret risk mols uses the option-theoretic approafor moling correlation between the cret-risky assets? CretRisk+ CretMetriKMV for public firms Both CretMetrianKMV for public firms ANSWER: C KMV estimates fault probabilities using the Merton approabaseon the company’s stoprice. 老师KMV是怎么用option-theoretic approafor moling 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，Cret matrix 是考虑相关性的，是吧？但是感觉是从历史法，是吗？
Whiof the following cret risk mols uses the option-theoretic approafor moling correlation between the cret-risky assets? CretRisk+ CretMetriKMV for public firms Both CretMetrianKMV for public firms ANSWER: C KMV estimates fault probabilities using the Merton approabaseon the company’s stoprice. 题面，什么是 option-theoretic approach。。。怎么理解
