SDin
2022-08-09 21:48固收case6第2題，market-based variables有哪些？
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(gè)回答
hongbo助教
2022-08-10 10:13
該回答已被題主采納
同學(xué)，你好。所謂market based variable，指的是基于市場(chǎng)活躍交易出來的數(shù)據(jù)。比如公司的市值，比如公司股價(jià)的波動(dòng)性，屬于典型的market based varialbe.
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追問
好的謝謝老師，那reduce form里的company specific又包括什么呢？
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追答
同學(xué)，你好。Reduced form models solve for default intensity, or the POD over a specific time period, using observable company-specific
variables such as financial ratios and recovery assumptions as well as macroeconomic variables, including economic growth and market volatility measures.
An early example of the reduced form approach is the Z-score established by Altman (1968), which combined liquidity (working capital/total assets), profitability (retained earnings/total assets), asset efficiency (EBIT/ total assets), market versus book value of equity, and asset turnover (sales/total assets) factors
最典型的company specific variable就是財(cái)務(wù)比率
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