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: 800
and 3.33
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 . The distance to default at point 1 is .
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?