SDin2022-08-09 21:48:55
SDin固收case6第2题，market-based variables有哪些？
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hongbo2022-08-10 10:13:14
hongbo同学，你好。所谓market based variable，指的是基于市场活跃交易出来的数据。比如公司的市值，比如公司股价的波动性，属于典型的market based varialbe.
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好的谢谢老师，那reduce form里的company specific又包括什么呢？
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同学，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就是财务比率
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