1. I Simulations by Moodys Analytics have shown that EDF models outperform both Z scoretype models and S&P rating changes as predictors of corporate failure and distress.

2. II A major advantage of Altmans Z-Score model to measure the credit risk of a customer is the stability of the coefficient weights over time.

3. III Moodys Analytics (KMV) has developed a model called Expected Default Frequency (EDF) used now by largest US banks to monitor credit risk.

4. IV The variance of returns of a portfolio of loans normally is equal to the arithmetic average of the variance of returns of the individual loans.

Which of the above statements are true?

(a) I only (b) I and II only

(c) I and III only (d) II and III only

(e) IV only