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ciaoyy · 2019年07月13日

问一道题:NO.PZ2016082405000020

问题如下图:

    

选项:

A.

B.

C.

D.

解释:


可以解释一下I吗?

1 个答案
已采纳答案

品职答疑小助手雍 · 2019年07月14日

同学你好,关于这个结论,我们在原版书中找到了这句话。

这个具体的过程,得学过更高深的知识才能真正理解,属于超纲内容。不同于CFA,FRM里一些知识如果细究起来,是需要很多超纲知识的。建议同学你把这个结论记住即可。


二三六七七九九 · 2019年07月29日

第一句话怎么理解?

品职答疑小助手雍 · 2019年07月29日

第一句话说每个债务人对同样的风险因子有不同的sensitivity,这个和KMV是不兼容的,因为KMV对同样的资产收益和负债结构一视同仁,解答中说credit risk+是这样考虑的,因为它假设的是违约服从泊松分布,每个obligor有自己的λ,这个点了解即可。

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