easy · FRM Part 2 Credit Risk
Structural models generally require which set of primary inputs to estimate a firm's default probability?
- Historical loan loss data and key macroeconomic indicators.
- The firm's P/E ratio, dividend yield, and market beta coefficient.
- Observed CDS spreads, assumed recovery rates, and the risk-free yield curve.
- Equity market value, equity volatility, and liability structure.
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