Which of the following credit risk models relies upon theanalysis of credit rating migrations to assess credit risk?

Which of the following credit risk models relies upon theanalysis of credit rating migrations to assess credit risk?
A . KMV’s EDF based approach
B . The CreditMetrics approach
C . The actuarial approach
D . The contingent claims approach

View Answer

Answer: B

Explanation:

The correct answer is Choice ‘b’. The following is a brief description of the major approaches available to model credit risk, and the analysis that underlies them: