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标题: [ 2009 FRM Sample Exam ] Quantitative Analysis Q22 [打印本页]

作者: lalamei 时间: 2009-6-13 11:08 标题: [ 2009 FRM Sample Exam ] Quantitative Analysis Q22

22. Which of the following is NOT a limitation of KMV's Estimated Default Frequency (EDF) model?

A. It is difficult to price sovereign credit risk since asset values and volatility are not directly observable

B. EDFs are biased by periods of high or low defaults

C. Takes a simplified view of the capital structure of a firm

D. The model often fails to explain real world credit spreads

作者: lalamei 时间: 2009-6-13 11:08

Correct answer is Bfficeffice" />

Choices A, C and D are limitations of KMV's estimated default frequency model.

EDF are not biased by periods of high or low defaults as are models based on Moody's and Standard & Poor's risk ratings.

作者: lumi 时间: 2009-7-16 15:27

谢谢

作者: wuna 时间: 2009-7-31 16:30

good

作者: vory 时间: 2009-8-28 17:04

顶一个

作者: nayizhenfeng 时间: 2009-9-16 16:03

顶

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