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piupiu · 2024年10月27日

强化班笔记只有一种情况，所以两种都得背下来吗

  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.

Using Moody’s KMV Credit Monitor Model to calculate the distance to default is:

选项：

A.

9.26 standard deviations.

B.

8.05 standard deviations.

C.

8.23 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 above 1.5, 300/140=2.14

the default threshold is 140+(0.7-0.3*140/300)*300=308

Distance to default =(1000-308)/86=8.05 standard deviations

如题

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1 个答案

pzqa27 · 2024年10月28日

嗨，从没放弃的小努力你好：


这里稍微了解下就可以了，这个题是个老题目，目前的考纲并不要求计算KMV的两种threshold 了，重点关注下KMV和Merton 模型的区别即可。

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努力的时光都是限量版，加油！

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NO.PZ2020033003000013 问题如下 A firm hcurrent asset value of $1000 million, current liabilities value of $140 million, anlong-term liabilities value of $300 million. Suppose the stanrviation of expecteasset value is $86 million. Using Moo’s KMV Cret Monitor Mol to calculate the stanto fault is: 9.26 stanrviations. B.8.05 stanrviations. 8.23 stanrviations. 7.34 stanrviations. B is correct.考点KMV approach计算。解析: long-term-liabilities-to-short-term-liabilities is above 1.5, 300/140=2.14the fault thresholis 140+(0.7-0.3*140/300)*300=308stanto fault =(1000-308)/86=8.05 stanrviations long-term-liabilities-to-short-term-liabilities is above 1.5, 300/140=2.14the fault thresholis 140+(0.7-0.3*140/300)*300=308

2024-05-07 10:39 2 · 回答

NO.PZ2020033003000013 问题如下 A firm hcurrent asset value of $1000 million, current liabilities value of $140 million, anlong-term liabilities value of $300 million. Suppose the stanrviation of expecteasset value is $86 million. Assume the firm hno other anthe ratio of long-term-liabilities-to-short-term-liabilities is below 1.5. Using Moo’s KMV Cret Monitor Mol to calculate the stanto fault is: 9.26 stanrviations. B.8.26 stanrviations. 8.05 stanrviations. 7.34 stanrviations. B is correct.考点KMV approach计算。解析: long-term-liabilities-to-short-term-liabilities is below 1.5the fault thresholis 140+0.5*300=290stanto fault =(1000-290)/86=8.26 stanrviations 为什么current liab是指短期债，不是指债的总额？

2022-10-17 15:56 1 · 回答

NO.PZ2020033003000013 8.26 stanrviations. 8.05 stanrviations. 7.34 stanrviations. B is correct. 考点KMV approach计算。 解析: long-term-liabilities-to-short-term-liabilities is below 1.5 the fault thresholis 140+0.5*300=290 stanto fault =(1000-290)/86=8.26 stanrviations 长期比短期小于1.5吗？不是300/140吗？

2021-09-30 20:09 3 · 回答