NO.PZ2020033002000036
问题如下:
In the KMV model, which of the following is the main driver of corporate bond default probability?
选项:
A.Stock prices
B.Risk free rate
C.Stock price volatility D.Bond yield volatility解释:
A is correct.
考点:The KMV Approach
解析:KMV模型中,股票价格、资产波动率还有负债的价值都是驱动违约概率的参数。
辅导员你好,我看强化班笔记上写到“in merton model, market data,like stock value and capital structure are used ....”这句话是说莫顿模型中股价和资产结构是主要考虑因素
而KMV是脱胎于莫顿模型的,所以除了针对single debt和distribution两点改进之外,是否其它可以理解为与莫顿模型一致?所以在KMV模型中,也是股价和资产结构是main driver?