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首页>备考规划>备考FRM二级>【FRM每日一题】二级:信用风险测量与管理(1)

【FRM每日一题】二级:信用风险测量与管理(1)

发表时间:2015/7/31 10:28:18 编辑: 告诉小伙伴:
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[编考按]The Merton model and the Moody’s KMV model use different approaches to determine the probability of default. Which of the following is consistent with Moody’s KMV model...

FRM每日一题
        The Merton model and the Moody’s KMV model use different approaches to determine the probability of default. Which of the following is consistent with Moody’s KMV model?
        A.The distance to default is 1.96, so there is a 2.5% probability of default.
        B.The distance to default is 1.96, so there is a 5.0% probability of default.
        C.The historical frequency of default for corporate bonds has been 6%. Updating this with Altman’s Z-score analysis would provide a probability of default that is somewhat different than 6%.
        D.The distance to default is 1.96 and, historically, 1.2% of firms with this characterization have defaulted, so there is a 1.2% probability of default.
        Answer: D
        Moody’s KMV model evaluates the historical frequency of default for firms with similar distances to default and uses this as the probability of default.
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