lynn666 · 2023年05月01日
NO.PZ2020033002000091
问题如下：
Which of the following credit risk model(s) use(s) the option-theoretic approach for modeling correlation between the credit-risky assets?
I. CreditRisk+
II. CreditMetrics
III. KMV for public firms
选项：
A.
I & II
B.
I & III
C.
II & III
D.
III only.
解释：
D is correct.
考点：KMV
解析：
KMV estimates default probabilities using the Merton approach based on the company’s stock price.
如题 credit risk+是什么
NO.PZ2020033002000091问题如下 Whiof the following cret risk mol(s) use(s) the option-theoretic approafor moling correlation between the cret-risky assets?I. CretRisk+II. CretMetricsIII. KMV for public firms A.I IIB.I IIIC.II IIIIII only. is correct.考点KMV解析 KMV estimates fault probabilities using the Merton approabaseon the company’s stoprice. 可否延伸对比一下 这三个模型其他的不同点
NO.PZ2020033002000091 想问下什么叫option-theoretic approach呢，基础讲义里面那里有讲到吖
