[2008] Topic 42: Default Risk: Quantitative Methodologies 相关习题 transition, regulatory, frequency, default, economic

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AIM 1: Explain the relationship of the Merton model and Moody’s-KMV’s equity model relative to estimates of expected default frequency (EDF) and required economic and regulatory capital.

1、The KMV model is most sensitive to estimates of:

A) transition matrices. 

B) asset return volatility and correlations. 

C) recovery factors and default rate standard deviations.

D) credit quality of debtors.

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The correct answer is B

The KMV model is most sensitive to asset return volatility and asset return correlation estimates.

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2、All of the following are assumptions of the KMV model EXCEPT:

A) there is only one issue of debt, all of which matures on a given date.

B) bondholders and stockholders cannot negotiate.

C) default can only occur at maturity.

D) there is no need for an adjustment for liquidity.

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The correct answer is A

All of these are assumptions of the Merton model. One of the features that distinguishes the KMV model is that it allows for there to be two issues of debt: one that is short term and one that is long term.

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AIM 2: Define and differentiate among the following quantitative methodologies for credit analysis and scoring: linear discriminant analysis; parametric discrimination, k-nearest neighbor; and support vector machines.

Which of the following includes models in which the assigned score can be interpreted as a probability of default?

A) The k-nearest neighbor approach.

B) Support vector machines.

C) None of the above.

D) Parametric discrimination.

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The correct answer is D

Parametric discrimination is the use of an equation to assign a value to firms, and that value would indicate whether it falls into a default or non-default category. Included in this category of scoring models is the logit model, in which the score can be interpreted as a probability.