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金融民工阿聪 · 2022年08月18日

关于变量的区别

  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说的“market-based variables”和A说的“macroeconomic variables”有什么区别吗？ 就是这两个模型对于变量的使用，感觉界限有点模糊难以分清

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已采纳答案

pzqa015 · 2022年08月19日

嗨，努力学习的PZer你好：


这两个词意思是一样的

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。


所以，A说用using observable company specific variables such as financial ratios and macroeconomic variables是错误的

B说用market-based variables没问题，但是to estimate an issuer’s asset value and the volatility of asset value是错误的，这是structural model要做的。

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努力的时光都是限量版，加油！

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