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wawjbng · 2021年08月12日

为什么II正确呢?

NO.PZ2020033003000020

问题如下:

Which of the following is feature of the KMV model ?

I. The risk factors are common across all obligors, but sensitivity to the risk factors differs across obligors.

II.In the KMV model, we can observe a firm’s asset value and volatility directly from the market, figures could be obtained using current equity value.

选项:

A.

I only.

B.

II only.

C.

Both I and II.

D.

Neither I nor II.

解释:

B is correct.

考点:The KMV Approach and Estimation Approaches

解析:I描述的是CreditRisk+的特征。

老师上课解释KMV和Merton的区别之一就是公司资产价值不是观察到的,是蒙特卡洛求出来的。。谢谢老师
1 个答案

品职答疑小助手雍 · 2021年08月13日

嗨,从没放弃的小努力你好:


用蒙特卡洛,其中的参数也还是要基于equity value来获得的,原版书127页。不过这里主要还是当成结论来记了,考试一般都直接给出来firm value了。

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