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
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:
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