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mia · 2022年03月15日

B选项

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000018

问题如下：

Which of the following statements about statistical credit analysis models is most accurate?

选项：

A.

Structural credit models solve for the POD using observable company specific variables such as financial ratios and macroeconomic variables.

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 use market-based variables to estimate an issuer’s asset value and asset value volatility, defining the likelihood of default as the probability of the asset value falling below that of liabilities, with zero net assets defined as the default threshold

B不就是reduced form model用observed variables计算违约概率吗？是错在market value和volatility吗？

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1 个答案

pzqa015 · 2022年03月15日

嗨，从没放弃的小努力你好：


现代信用风险计量模型主要有structural model与reduced model。二者主要对比如下：

Structural model（又称为company value model）将公司资产负债表与option进行类比，当资产价值＜负债价值（负债价值称作barrier）时，公司会发生违约。该模型解释了why default occurs。该模型的优点是理论上简单，provide insight to the nature of credit risk，缺点是公司信息获取不到，因此，一般用于公司内部风险管理；同时，无法用BSM模型对期权定价。实践中操作难度高。

Reduced model根据历史数据用company’s specific variable以及macro economic variable找出违约概率，并解释公司未来when default occurs，与structural model不同，reduced model中的POD是一个外生变量（external）。优点是输入变量是可以观察到的历史数据，可以反映出公司经历的经济周期，模型用的数据都是金融市场公开数据。缺点是无法解释为什么会发生违约，同时隐含假设是default come as a surprise，但实际上违约发生并不突然，会有一些迹象。


A和B选项刚好说反了，A是reduced form，B是structural model

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