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翟延昕 · 2022年03月08日

D为啥不对？

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033002000038

问题如下：

The KMV model is used to calculate the expected default frequency. Regarding the sensitivity of expected default frequency, which of the following is not correct?

选项：

A.

When the company's leverage decreases, the company is less likely to default.

B.

When the company's stock price rises, the company is less likely to default.

C.

The expected default frequency is the same as the risk-neutral probability of default from Merton’s model.

D.Capital structure assumption is more complicated in the KMV model than in Merton model.

解释：

C is correct.

考点：The KMV Approach

解析：KMV得到的EDF用的是ROA，而risk-neutral PD是在假设期望收益是rf的情况下得到的，所以不一样。

KMV的假设不应该更简单吗

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1 个答案

DD仔_品职助教 · 2022年03月09日

嗨，从没放弃的小努力你好：


同学你好，

morton模型假设更简单，假设公司只有一笔零息债。

KMV模型假设公司既有短期债也有长期债，会稍微复杂一些。

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努力的时光都是限量版，加油！

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