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wawjbng · 2021年08月12日

为什么II正确呢？

  1. FRM II
  2. Credit Risk Measurement And Management

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。

老师上课解释KMV和Merton的区别之一就是公司资产价值不是观察到的，是蒙特卡洛求出来的。。谢谢老师
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1 个答案

品职答疑小助手雍 · 2021年08月13日

嗨，从没放弃的小努力你好：


用蒙特卡洛，其中的参数也还是要基于equity value来获得的，原版书127页。不过这里主要还是当成结论来记了，考试一般都直接给出来firm value了。

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