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小锦鲤要加油 · 2022年01月26日

问题

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000018

问题如下：

Which of the followingstatements about statistical credit analysis models is most accurate?

选项：

A.

Structural credit models solve for the POD using observablecompany specific variables such as financial ratios and macroeconomicvariables.

B.

Reduced-form credit models use market-based variables to estimate an issuer’s asset value and the volatility of asset value.

C.

Structural credit models define the likelihood of default as the probability of the asset value falling below that of liabilities.

解释：

C is correct. Structural credit models usemarket-based variables to estimate an issuer’s asset value and asset valuevolatility, defining the likelihood of default asthe probability of the asset value falling below that of liabilities, with zeronet assets defined as the default threshold

A是reduced form model么

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已采纳答案

pzqa015 · 2022年01月26日

嗨，从没放弃的小努力你好：


是的

A与B说反了

A是reduced form model；B是structural model。

Structural model（又称为company value model）将公司资产负债表与option进行类比，当资产价值＜负债价值（负债价值称作barrier）时，公司会发生违约。该模型解释了why default occurs。该模型的优点是理论上简单，provide insight to the nature of credit risk，缺点是公司信息获取不到，因此，一般用于公司内部风险管理；同时，无法用BSM模型对期权定价。实践中操作难度高。

Reduced model根据历史数据用company’s specific variable以及macro economic variable找出违约概率，并解释公司未来when default occurs，与structural model不同，reduced model中的POD是一个外生变量（external）。优点是输入变量是可以观察到的历史数据，可以反映出公司经历的经济周期，模型用的数据都是金融市场公开数据。缺点是无法解释为什么会发生违约，同时隐含假设是default come as a surprise，但实际上违约发生并不突然，会有一些迹象。


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Yiyun · 2022年03月06日

A 主语错了，应该是Reduced-form credit models B 主语错了，应该是Structural credit models

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