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。
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.
这个II 我觉得 有几个地方不太对呀？
我听过经典题&基础班了。。。但。。。
1. 不是说KMV不是观察到的asset value而是Monte Carlo模拟出来的吗？
2. 莫顿的确用了equity的BSM（current equity value），KMV是哪里用了Equity value呀？不就。。。先求个DD 然后安排上PD 然后再安排rating吗？
蟹蟹蟹蟹！
