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wawjbng · 2021年08月10日

老师请问这题该如何理解，在基础班哪里讲到了呢

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033003000101

问题如下：

In Moody’s KMV model, when the distance to default is known, we can calculate the expected default frequency (EDF, the same as default probability). Which of the following statement is correct?

选项：

A.

The distance to default is 1.96, so we can calculate the default probability is 2.5%.

B.

The distance to default is 1.96, so we can calculate the default probability is 5%.

C.

If we use Merton model rather than Moody’s KMV model, the distance to default is 1.96, we can calculate the default probability is 5%.

D.

The distance to default is 1.96, we map this number to the probability of default table made basing on historical data, and find the corresponding number is 1.2%,so the default probability is 1.2%.

解释：

D is correct.

考点：The KMV Approach and Estimation Approaches

解析：KMV模型并没有假定违约概率服从正态分布，使用历史上的违约概率。是通过将违约距离映射到基于历史数据制作的违约概率表来计算违约概率的。

Merton模型假设了违约概率服从正态分布，1.96对应的违约概率应该是2.5%。

另外，怎么根据DD算PD呢
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1 个答案

品职答疑小助手雍 · 2021年08月11日

嗨，努力学习的PZer你好：


基础班讲义185页。

DD算PD：KMV就根据历史来，merton就根据一级数量里面学的正态分布分位点的对应来。

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加油吧，让我们一起遇见更好的自己！

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NO.PZ2020033003000101 问题如下 In Moo’s KMV mol, when the stanto fault is known, we ccalculate the expectefault frequen(E, the same fault probability). Whiof the following statement is correct? A.The stanto fault is 1.96, so we ccalculate the fault probability is 2.5%. B.The stanto fault is 1.96, so we ccalculate the fault probability is 5%. C.If we use Merton mol rather th Moo’s KMV mol, the stanto fault is 1.96, we ccalculate the fault probability is 5%. The stanto fault is 1.96, we mthis number to the probability of fault table ma basing on historictanfinthe corresponng number is 1.2%,so the fault probability is 1.2%. is correct.考点The KMV ApproaanEstimation Approaches解析KMV模型并没有假定违约概率服从正态分布，使用历史上的违约概率。是通过将违约距离映射到基于历史数据制作的违约概率表来计算违约概率的。Merton模型假设了违约概率服从正态分布，1.96对应的违约概率应该是2.5%。 A为什么错

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