Kun
2020-01-11 21:28老師信用風(fēng)險(xiǎn)122頁這一段Another difficulty with the Merton model is that default is too ?predictable. Remember that to obtain prices of debt in that ?model, we make the Black Scholes assumptions. We know that ?with these assumptions firm value cannot jump. As a result, ?default cannot occur unless firm value is infinitesimally close to ?the point where default occurs. In the real world, default is often ?more surprising. For instance, a run on a bank could make its ?equity worthless even though before the run its equity value was ?not close to zero.沒太看懂能講一下嗎？謝謝
所屬：FRM Part II 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個(gè)回答
Cindy助教
2020-01-14 18:12
該回答已被題主采納
同學(xué)你好，這句話的意思就是說莫頓模型的局限性比較強(qiáng)，它假設(shè)公司的股價(jià)不允許出現(xiàn)跳躍，公司只有一個(gè)零息債券，等等。這些都是不現(xiàn)實(shí)的條件，所以莫頓模型沿用上面的BSM模型一樣，在現(xiàn)實(shí)世界中的準(zhǔn)確性都很低的
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