NO.PZ2020033002000036
问题如下:
In the KMV model, which of the following is the main driver of corporate bond default probability?
选项:
A. Stock
prices
B. Risk free rate
C. Stock price volatility
D. Bond yield volatility
解释:
A is correct.
考点:The KMV Approach
解析:KMV模型中,股票价格、资产波动率还有负债的价值都是驱动违约概率的参数。
kmv model中,distance to deafault=(A-K)/资产波动率,个人觉得deauflt驱动因素最强的是资产价值和资产波动率啊,为什么本题答案会是股票波动率,似乎有点牵强