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حسابداری و مالی::
چندمتغیره
The KMV model effectively deals with this issue by imposing that default of a loan occurs when the assets of the underlying debtor are insufficient to meet the liabilities and also assumes that the asset returns are multivariate normally distributed (with some asset correlation matrix).3 By contrast, Chernih et al
3The use of multivariate normal models is often based on the (wrong) intuition that correlations are
Indeed, Sklar's theorem states that for a multivariate vector (X1, X2, . . .
The d × n/2 matrix (sij ) can then be seen as a representation of the multivariate vector (S1, S2, . . .
Merton's model further assumes that the joint asset (log-)returns are multivariate normally distributed.
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