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六姑娘 · 2021年11月06日

a选项

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。

帮忙解释下a选项这句话的意思 另外creditrisks和kmv有什么区别呢?
1 个答案

品职答疑小助手雍 · 2021年11月06日

同学你好,就是creditrisk+这个方法会有一些参数的输入,这些参数对于各个欠债的人没有区别(比如宏观经济数据之类的),不过针对不同的欠债的人他们对这个参数的敏感性是不一样的(I描述的意思),中间如何计算什么的考纲里没有讲,最后输出的是违约/不违约这两个结果。基础班讲义332页,如果完全不了解的话,建议还是听一下课。

KMV就是merton系列的把股权假设成公司价值的期权的模型进行计算,和creditrisk+显然不一样。

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