劉同學
2022-05-19 19:15statement3錯哪了
所屬：CFA Level III > Fixed-Income Portfolio Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Chris Lan助教
2022-05-20 11:57
該回答已被題主采納
同學您好
statement 3說的是 Structural credit models such as EDF estimate POD when the market value of assets falls below a firm’s liabilities. The model uses observed company-specific credit variables.
這里錯在company-specific credit variables，正確的應(yīng)該是market-based variables
您可以參考一下原文
Structural credit models use market-based variables to estimate the market value of an issuer’s assets and the volatility of asset value. The likelihood of default is defined as the probability of the asset value falling below that of liabilities. 結(jié)構(gòu)模型使用基于市場的變量來估計發(fā)行人資產(chǎn)的市場價值和資產(chǎn)價值的波動性。違約可能性定義為資產(chǎn)價值低于負債價值的概率，解釋了為什么會產(chǎn)生違約
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