官网131 Structural credit models 和Reduced-form credit models性质有何区别-有问必答-品职教育专注CFA ESG FRM CPA 考研等财经培训课程

官网131 Structural credit models 和Reduced-form credit models性质有何区别

131Q. Which of the following statements about statistical credit analysis models is most accurate?

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.

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。

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努力的时光都是限量版，加油！

官网131 Structural credit models 和Reduced-form credit models性质有何区别

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