问题如下：
Which of the following statements correctly applies to the KMV model, CreditMetrics, and CreditRisk+ together?
选项： In
their original implementations these models do not take into account changes in
interest rates or credit spreads.
All three models allow for changes in default probability only when ratings change, rather than continuously.
C.It is impossible to compute a VAR measure using these models.
D.Credit migrations from one ratings class to another are ignored by these models.
解释：
ANSWER: A
None of the models take into account changes in risk-free rates nor spreads, so answer A is correct. Answer B. is incorrect, because the KMV model bases estimates of PD on the stock price, which moves continuously. Answer C is incorrect, because the main purpose of all of these models is to estimate credit VAR measures. Answer D is incorrect, for example, because CreditMetrics is based on credit ratings.
C选项是不是错在C+模型不能算Var
