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徐威廉 · 2020年04月04日

问一道题：NO.PZ2018123101000110 [ CFA II ]

  1. CFA II
  2. Fixed Income

问题如下：

Kreming suggests using a model to predict the rating change of Bond IV using leverage ratios, return on assets, and macroeconomic variables. Kreming’s suggested model for Bond IV is a:

选项：

A.

structural model.

B.

reduced-form model.

C.

term structure model.

解释：

B is correct. A reduced-form model in credit risk analysis uses historical variables, such as financial ratios and macroeconomic variables, to estimate the default intensity. A structural model for credit risk analysis, in contrast, uses option pricing and relies on a traded market for the issuer’s equity.

读题目的感觉是运用model得到数据变化，标准的structure model啊！
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WallE_品职答疑助手 · 2020年04月07日

同学答案有解释你的问题呀，麻烦认真看下答案。

Reduced form model才是基于历史数据，structure是基于模型，公司资产负债表。详见强化课讲义P29-30。

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NO.PZ2018123101000110 1.leverage ratio, return on asset，这些不是公司内部信息吗？ 2.如果说财报有披露上述数据，那更说明了asset value，还有liability也很可以从财报里看出来不是么

2021-04-20 01:13 1 · 回答

receform mol. term structure mol. B is correct. A receform mol in cret risk analysis uses historicvariables, sufinanciratios anmacroeconomic variables, to estimate the fault intensity. A structurmol for cret risk analysis, in contrast, uses option pricing anrelies on a tramarket for the issuer’s equity. 有prerating change的term structure mol吗？c是编的还是确实有这个模型？

2021-04-02 11:20 1 · 回答

老师，我的疑问是，leverage ratio, return on asset，这些不是公司内部信息吗？

2020-09-17 00:04 1 · 回答

receform mol. term structure mol. B is correct. A receform mol in cret risk analysis uses historicvariables, sufinanciratios anmacroeconomic variables, to estimate the fault intensity. A structurmol for cret risk analysis, in contrast, uses option pricing anrelies on a tramarket for the issuer’s equity. Whabout term structure mol?

2020-02-21 08:14 1 · 回答