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