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还是星宇好 · 2020年10月15日

问一道题：NO.PZ2016082405000017

  1. FRM II
  2. Credit Risk Measurement And Management

问题如下：

A non-dividend paying firm financed with 100% equity issues a zero-coupon bond with a principal amount of $50 million due in three years. What are the values of the different components of the firm’s capital structure at the maturity date of the bond if the firm value at that time is $40 million?

选项：

A.

$50 million in debt and $10 million in equity.

B.

$10 million in debt and $30 million in equity.

C.

$50 million in debt and $40 million in equity.

D.

$40 million in debt and $0 in equity.

解释：

D The value of equity is the value of a call on the value of the firm with an exercise price equal to the face value of the zero-coupon bond, ST = Max(VT - F,0) = Max(40 - 50, 0) = 0

(i.e., equity has no value). The value of debt is DT = F - Max(F - VT> 0) or alternatively,

DT= VT- ST. Therefore, the value of debt is 40 - 0 = 40 = $40 million.

The value of debt is DT = F - Max(F - VT> 0) or alternatively，老师后面那里应该是 DT = F - Max(F - VT，0) ，为啥那里写了个＞0

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1 个答案

袁园_品职助教 · 2020年10月16日

同学你好！

这里应该是个typo，已通知后台老师改正，谢谢你的细心！

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NO.PZ2016082405000017 A non-vinpaying firm financewith 100% equity issues a zero-coupon bonwith a principamount of $50 million e in three years. Whare the values of the fferent components of the firm’s capitstructure the maturity te of the bonif the firm value thtime is $40 million? $50 million in an$10 million in equity. $10 million in an$30 million in equity. $50 million in an$40 million in equity. $40 million in an$0 in equity. The value of equity is the value of a call on the value of the firm with exercise priequto the favalue of the zero-coupon bon ST = Max(VT - F,0) = Max(40 - 50, 0) = 0 (i.e., equity hno value). The value of is = F - Max(F - VT ) > 0 or alternatively, = VT- ST. Therefore, the value of is 40 - 0 = 40 = $40 million. 问题如下 1.期初的时候，全部投了债券，所以期初bt是50， 然后equity 是0对吗？ 2.后续的变动，就是高于50的部分变成equity，然后低于50，则剩余的就全部是bt对吗？

2021-05-01 21:35 2 · 回答

NO.PZ2016082405000017 A non-vinpaying firm financewith 100% equity issues a zero-coupon bonwith a principamount of $50 million e in three years. Whare the values of the fferent components of the firm’s capitstructure the maturity te of the bonif the firm value thtime is $40 million? $50 million in an$10 million in equity. $10 million in an$30 million in equity. $50 million in an$40 million in equity. $40 million in an$0 in equity. The value of equity is the value of a call on the value of the firm with exercise priequto the favalue of the zero-coupon bon ST = Max(VT - F,0) = Max(40 - 50, 0) = 0 (i.e., equity hno value). The value of is = F - Max(F - VT ) > 0 or alternatively, = VT- ST. Therefore, the value of is 40 - 0 = 40 = $40 million. 能否下，如果是C这样的话到期应该是怎么样的一个Firm Value呢？

2021-03-31 16:41 1 · 回答

A non-vinpaying firm financewith 100% equity issues a zero-coupon bonwith a principamount of $50 million e in three years. Whare the values of the fferent components of the firm’s capitstructure the maturity te of the bonif the firm value thtime is $40 million? $50 million in an$10 million in equity. $10 million in an$30 million in equity. $50 million in an$40 million in equity. $40 million in an$0 in equity. The value of equity is the value of a call on the value of the firm with exercise priequto the favalue of the zero-coupon bon ST = Max(VT - F,0) = Max(40 - 50, 0) = 0 (i.e., equity hno value). The value of is = F - Max(F - VT> 0) or alternatively, = VT- ST. Therefore, the value of is 40 - 0 = 40 = $40 million. (i.e., equity hno value). The value of is  = F - Max(F - VT> 0) or alternatively, 怎么理解啊

2020-07-17 00:40 1 · 回答

可否下40m in bt    

2019-09-10 10:03 1 · 回答