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。
辅导员好,强化班笔记上写的“EDF, the same as the default probability”, 这里的default probability指的不是莫顿模型里的风险中性违约概率对吗?