小宋宋 · 2021年04月14日
NO.PZ2016082405000020
问题如下：
Which of the following is a characteristic of the KMV model?
I. Each obligor has its own sensitivity to each of the common risk factors.
II. It includes an estimate of correlation between firm values based on the correlation between observed equity values.
选项： I only.
II only.
C.Both I and II.
D.Neither I nor II.
解释：
B Statement I is only true for Credit Risk+. Statement II is a characteristic and major advantage of the KMV model.
KMV MODEL 中那里有 correlation
Whiof the following is a characteristic of the KMV mol? I. Eaobligor hits own sensitivity to eaof the common risk factors. II. It inclus estimate of correlation between firm values baseon the correlation between observeequity values. I only. II only. Both I anII. Neither I nor II. B Statement I is only true for Cret Risk+. Statement II is a characteristic anmajor aantage of the KMV mol. 请问KMV哪一个特点说的是资产和负债的相关系数
II only. Both I anII. Neither I nor II. B Statement I is only true for Cret Risk+. Statement II is a characteristic anmajor aantage of the KMV mol. 想问一下Cret Risk+和KMV的这个特点对应讲义哪里？不记得有学习过A和B的相关知识
Whiof the following is a characteristic of the KMV mol? I. Eaobligor hits own sensitivity to eaof the common risk factors. II. It inclus estimate of correlation between firm values baseon the correlation between observeequity values. I only. II only. Both I anII. Neither I nor II. B Statement I is only true for Cret Risk+. Statement II is a characteristic anmajor aantage of the KMV mol. 这题没有理解，答案是B，但是又说是statement 1 正确，没搞懂
Whiof the following is a characteristic of the KMV mol? I. Eaobligor hits own sensitivity to eaof the common risk factors. II. It inclus estimate of correlation between firm values baseon the correlation between observeequity values. I only. II only. Both I anII. Neither I nor II. B Statement I is only true for Cret Risk+. Statement II is a characteristic anmajor aantage of the KMV mol. 所以KMV的公司Value就是公开市场equity的价格？对于没有公开市场交易的equity也是和Merton一样假设是可以获得的？ 由于KMV对于Merton只有在 1、单一bon 2不用假设log分布两个方面有优势，所以其实对于资产价格的问题都是有明显缺陷的，对吧？
