NO.PZ2020033002000091
问题如下：
Which of the following credit risk model(s) use(s) the option-theoretic approach for modeling correlation between the credit-risky assets?
I. CreditRisk+
II. CreditMetrics
III. KMV for public firms
选项：
A.I & II
B.I & III
C.II & III
D.III only.
解释：
D is correct.
考点：KMV
解析：
KMV estimates default probabilities using the Merton approach based on the company’s stock price.
想问下什么叫option-theoretic approach呢，基础讲义里面那里有讲到吖
