【FRM每日一题】二级：信用风险测量与管理（1）
备考FRM二级 | 2015-07-31
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.
.jpg)
FRM微信号：FRM-4009596 FRMQQ群号：119758791
相关标签 FRM一级
