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holicess · 2020年05月24日

问一道题:NO.PZ2016082406000090

问题如下:

You are given the following information about a firm. The market value of assets at time 0 is 1,000; at time 1 is 1,200. Short-term debt is 500; long-term debt is 300. The annualized asset volatility is 10%. According to the KMV model, what are the default point and the distance to default at time 1?

选项:

A.

800 and 3.33

B.

650 and 7.50

C.

650 and 4.58

D.

500 and 5.83

解释:

ANSWER: C

The default point is given by short-term liabilities plus half of long-term liabilities, which is 500+300/2=650500+300/2=650. The distance to default at point 1 is VKσV=1,2006501,200×0.10=4.58\frac{V-K}{\sigma_V}=\frac{1,200-650}{1,200\times0.10}\text{=}4.58.

老师,这里面0时刻asset=1000, 1时刻是1200,那分子的asset return 这里为什么不用(1200-1000),然后再减去default threshold 650?

1 个答案

小刘_品职助教 · 2020年05月25日

同学你好,

这道题在讲义里英文部分的表述有点问题,应该是expected asset value,以后面的公式为准哈。

前面的表述我们很快会勘误~