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六姑娘 · 2021年11月13日

merton模型的公式

  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%。

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%。

这个计算公式能给出来一下吗？

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1 个答案

李坏_品职助教 · 2021年11月13日

嗨，从没放弃的小努力你好：


这句话意思是1.96的正态分布分位数，对应的双边概率是2.5%，这个是标准正态分布的性质决定的。应该是一级的quantitative 部分~


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