NO.PZ2020033003000020
问题如下：
Which of the following is feature of the KMV model ?
I. The risk factors are common across all obligors, but sensitivity to the risk factors differs across obligors.
II.In the KMV model, we can observe a firm’s asset value and volatility directly from the market, figures could be obtained using current equity value.
选项：
A.I only.
B.II only.
C.Both I and II.
D.Neither I nor II.
解释：
B is correct.
考点：The KMV Approach and Estimation Approaches
解析：I描述的是CreditRisk+的特征。
在KMV中firm’s asset value 不是市场上直接观察的，是蒙特卡洛模拟出来的，那为什么II还对呢？
