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滴滴姐姐~ · 2021年11月18日

KMV 是基于historical data?

NO.PZ2020033003000101

问题如下:

In Moody’s KMV model, when the distance to default is known, we can calculate the expected default frequency (EDF, the same as default probability). Which of the following statement is correct?

选项:

A.

The distance to default is 1.96, so we can calculate the default probability is 2.5%.

B.

The distance to default is 1.96, so we can calculate the default probability is 5%.

C.

If we use Merton model rather than Moody’s KMV model, the distance to default is 1.96, we can calculate the default probability is 5%.

D.

The distance to default is 1.96, we map this number to the probability of default table made basing on historical data, and find the corresponding number is 1.2%,so the default probability is 1.2%.

解释:

D is correct.

考点:The KMV Approach and Estimation Approaches

解析:KMV模型并没有假定违约概率服从正态分布,使用历史上的违约概率。是通过将违约距离映射到基于历史数据制作的违约概率表来计算违约概率的。

Merton模型假设了违约概率服从正态分布,1.96对应的违约概率应该是2.5%。

不是。。。monte carlo模拟出来的?

不是放松了Merton model的asset value基于observed data这个假设?

1 个答案
已采纳答案

DD仔_品职助教 · 2021年11月18日

嗨,努力学习的PZer你好:


KMV模型放松了莫顿模型的假设如下:

1)KMV考虑到了长期债与短期债

2)莫顿模型认为公司value服从log,而KMV没有


这里就当做结论记一下KMV模型的数据也是历史数据,不是模拟出来的。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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