NO.PZ2021120102000018
问题如下:
Which of the followingstatements about statistical credit analysis models is most accurate?
选项:
A. Structural credit models solve for the POD using observablecompany specific variables such as financial ratios and macroeconomicvariables.
B. Reduced-form credit models use market-based variables to estimate an issuer’s asset value and the volatility of asset value.
C. Structural credit models define the likelihood of default as the probability of the asset value falling below that of liabilities.
解释:
C is correct. Structural credit models usemarket-based variables to estimate an issuer’s asset value and asset valuevolatility, defining the likelihood of default asthe probability of the asset value falling below that of liabilities, with zeronet assets defined as the default threshold
A是reduced form model么