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Emmmmmmmua · 2022年10月17日

current liab

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033003000013

问题如下：

A firm has current asset value of $1000 million, current liabilities value of $140 million, and long-term liabilities value of $300 million. Suppose the standard deviation of expected asset value is $86 million.

Assume the firm has no other debt and the ratio of long-term-liabilities-to-short-term-liabilities is below 1.5. Using Moody’s KMV Credit Monitor Model to calculate the distance to default is:

选项：

A.

9.26 standard deviations.

B.

8.26 standard deviations.

C.

8.05 standard deviations.

D.

7.34 standard deviations.

解释：

B is correct.

考点：KMV approach计算。

解析:

long-term-liabilities-to-short-term-liabilities is below 1.5

the default threshold is 140+0.5*300=290

Distance to default =(1000-290)/86=8.26 standard deviations

为什么current liab是指短期债，不是指债的总额？

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1 个答案

pzqa27 · 2022年10月17日

嗨，努力学习的PZer你好：


这个是根据题意判断出来的，如果这里 current liabilities value of $140 million指总负债的话，那跟题目自身矛盾了，因为它说and long-term liabilities value of $300 million，不可能一个公司总负债140m其中长期负债300m.因此这里的current应当解读为短期/当下

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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2024-10-27 14:37 1 · 回答

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