开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

和棋 · 2020年10月25日

问一道题：NO.PZ2016082406000039

  1. FRM II
  2. Credit Risk Measurement And Management

问题如下：

Using the Merton model, the value of the debt increases if all other parameters are fixed and

I. The value of the firm decreases.

II. The riskless interest rate decreases.

III. Time to maturity increases.

IV. The volatility of the firm value decreases.

选项：

A.

I and II only

B.

I and IV only

C.

II and III only

D.

II and IV only

解释：

ANSWER: D

The value of credit-sensitive debt is B=Ke−(r+s)tB=Ke^{-(r+s)t}.  This increases (1) if the risk-free interest rate decreases, or (2) if the credit spread decreases, or (3) if the maturity decreases. The credit spread decreases if the value of the firm goes up, or if the leverage goes down, or if the volatility goes down. Hence, the value of debt increases if the riskless rate decreases or if the volatility decreases.

我不能理解（4）他说杠杆率下降，但是杠杆率等于A/E，当债务 上升的时候杠杆率应该是上升的，为什么杠杆率是下降的呢？

添加评论
2 个答案

袁园_品职助教 · 2020年10月26日

同学你好！

要具体看什么债务，例如债券是不会随着市场价值不断调整金额的

袁园_品职助教 · 2020年10月26日

同学你好！

你说的（4）是指解析里跟在（3）后面的那句话吗？ The credit spread decreases if the value of the firm goes up, or if the leverage goes down, or if the volatility goes down.

这句话的意思是说 当 firm value 上升 或 leverage 下降 或 波动率下降 时，credit spread 就会减小，带入公式里就可以看到 debt value 会增加

没有在说 debt 上升，leverage 下降（注意 debt 不等于 debt value）

 

  • 2

    回答

  • 0

    关注

  • 387

    浏览
相关问题

NO.PZ2016082406000039 Using the Merton mol, the value of the increases if all other parameters are fixeanI. The value of the firm creases. II. The riskless interest rate creases. III. Time to maturity increases. IV. The volatility of the firm value creases. I anII only I anIV only II anIII only II anIV only ANSWER: The value of cret-sensitive is B=Ke−(r+s)tB=Ke^{-(r+s)t}B=Ke−(r+s)t.  This increases (1) if the risk-free interest rate creases, or (2) if the cret sprecreases, or (3) if the maturity creases. The cret sprecreases if the value of the firm goes up, or if the leverage goes wn, or if the volatility goes wn. Hence, the value of increases if the riskless rate creases or if the volatility creases. time to maturity 和 有关吗？ 应该是客观认为存在吧。 是混淆象吧

2021-04-13 23:43 1 · 回答

NO.PZ2016082406000039 Using the Merton mol, the value of the increases if all other parameters are fixeanI. The value of the firm creases. II. The riskless interest rate creases. III. Time to maturity increases. IV. The volatility of the firm value creases. I anII only I anIV only II anIII only II anIV only ANSWER: The value of cret-sensitive is B=Ke−(r+s)tB=Ke^{-(r+s)t}B=Ke−(r+s)t.  This increases (1) if the risk-free interest rate creases, or (2) if the cret sprecreases, or (3) if the maturity creases. The cret sprecreases if the value of the firm goes up, or if the leverage goes wn, or if the volatility goes wn. Hence, the value of increases if the riskless rate creases or if the volatility creases. 为什么volatility会影响Firm Value？

2021-03-17 13:39 1 · 回答

Using the Merton mol, the value of the increases if all other parameters are fixeanI. The value of the firm creases. II. The riskless interest rate creases. III. Time to maturity increases. IV. The volatility of the firm value creases. I anII only I anIV only II anIII only II anIV only ANSWER: The value of cret-sensitive is B=Ke−(r+s)tB=Ke^{-(r+s)t}B=Ke−(r+s)t.  This increases (1) if the risk-free interest rate creases, or (2) if the cret sprecreases, or (3) if the maturity creases. The cret sprecreases if the value of the firm goes up, or if the leverage goes wn, or if the volatility goes wn. Hence, the value of increases if the riskless rate creases or if the volatility creases. 老师这个题具体从哪个知识点来解析，（）只符合其中几个 我的想法是上升，V上升 1和2 都是下降的 3,4 都是上升的， 选不出来答案D

2020-10-26 00:19 1 · 回答

Using the Merton mol, the value of the increases if all other parameters are fixeanI. The value of the firm creases. II. The riskless interest rate creases. III. Time to maturity increases. IV. The volatility of the firm value creases. I anII only I anIV only II anIII only II anIV only ANSWER: The value of cret-sensitive is B=Ke−(r+s)tB=Ke^{-(r+s)t}B=Ke−(r+s)t.  This increases (1) if the risk-free interest rate creases, or (2) if the cret sprecreases, or (3) if the maturity creases. The cret sprecreases if the value of the firm goes up, or if the leverage goes wn, or if the volatility goes wn. Hence, the value of increases if the riskless rate creases or if the volatility creases. B=Ke−(r+s)t 这个等式是指的啥啊

2020-07-17 00:30 2 · 回答