Which ofthe following statements about credit risk models is correct?

A. KMV models offer a structural approach to measuring credit risk that is based on credit migration.

B. CreditRisk+ models offer an actuarial approach to measuring credit risk that treats the bankruptcy and recovery processes as endogenous.

C. KMV models are an extension of Merton's option pricing model employing equity price volatility as a proxy for asset price volatility.

D. CreditRisk+ models, like the reduced-form models, use a chi-squared distribution to describe default.

Answer：C

A is incorrect. KMV models are NOT based on credit migration.

B is Incorrect. In CreditRisk+ models, the bankruptcy/recovery processes are exogenous.

C is Correct. KMV models employ equity price volatility as a proxy for asset price voiatility.

D is lncorrect. CreditRisk+ models use a Poisson or Poisson-like distribution to describe default.

本文FRM考试网小编，将本题翻译为中文内容如下：

以下关于信用风险模型的陈述是正确的?

A.KMV模型提供了一种基于信贷迁移来衡量信用风险的结构方法。

B. CreditRisk +模型提供了一种精算方法来衡量信用风险，将破产和恢复过程视为内生的。

C. KMV模型是Merton的期权定价模型的扩展，它使用股票价格波动作为资产价格波动的替代指标。

D. CreditRisk +模型，如简化模型，使用卡方分布来描述默认值。

答案：C

A不正确。 KMV模型不基于信贷迁移。

B不正确。 在CreditRisk +模型中，破产/恢复过程是外生的。

C是正确的。 KMV模型采用股票价格波动作为资产价格波动率的代理。

D是不正确的。 CreditRisk +模型使用泊松或类泊松分布来描述默认值。

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