- CFA Exams
- CFA Level I Exam
- Topic 6. Fixed Income
- Learning Module 29. Credit Analysis Models
- Subject 3. Structural and Reduced Form Credit Models
CFA Practice Question
The loss given default in structural models is:
B. K - AT.
C. K - max[K - AT, 0]
A. AT - K.
B. K - AT.
C. K - max[K - AT, 0]
Correct Answer: B
A company defaults on its debt if the value of its assets falls below the amount of its liabilities and that the probability of that event has the features of an option.
User Contributed Comments 1
| User | Comment |
|---|---|
| davidt876 | and C would be the value of the debt given default? |