NO.PZ2020033002000092
问题如下:
Which of the following statement is least accurate about models including KMV, CreditMetrics and CreditRisk+?
选项:
A. Interest rates or credit spreads are considered in all of the three models.
B. KMV model bases estimates of PD on the stock price, which moves continuously.
C. The main purpose of these models is
to compute a VAR measure.
D. CreditMetrics is based on credit ratings.
解释:
A is correct.
考点:KMV, CreditMetrics and CreditRisk+ models
解析:
None of the models take into account changes in risk-free rates nor spreads.
c选项有什么依据吗?书本的哪里