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Jo · 2023年06月30日

根据题目提供的条件,如何求得default threshold K?

Suppose a company ’s asset structure is a $1 million face value 3-year zero-coupon debt and equity, with total assets of $ 2 million, asset return of 18% and asset volatility of 25%. Assume its asset prices follows log-normal distribution. A bank uses KMV model to estimate the distance to default of this company. Which of the following is most likely the result obtained by this bank?

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品职答疑小助手雍 · 2023年06月30日

同学你好,asset structure is a $1 million face value 3-year zero-coupon debt and equity。加黑部分就是说有1million债券,就是threshold。

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