开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

追风少年NKU · 2021年11月20日

这个B选项是不是说的也不太准确啊?

NO.PZ2020033002000092

问题如下:

Which of the following statement is least accurate about models including KMV, CreditMetrics and CreditRisk+?

选项:

A.

Interest rates or credit spreads are considered in all of the three models.

B.KMV model bases estimates of PD on the stock price, which moves continuously. C.

The main purpose of these models is to compute a VAR measure.

D.

CreditMetrics is based on credit ratings.

解释:

A is correct.

考点:KMV, CreditMetrics and CreditRisk+ models

解析:

None of the models take into account changes in risk-free rates nor spreads.

continuously应该是不太严谨吧?

1 个答案

李坏_品职助教 · 2021年11月20日

嗨,从没放弃的小努力你好:


B意思是stock price的移动是连续的,股票收益率是连续型变量,这个没什么问题的。如果不是连续的,我们很难求出模型的解析解

----------------------------------------------
努力的时光都是限量版,加油!