问一道题：NO.PZ2016082406000039

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：

I and II only

I and IV only

II and III only

II and IV only

解释：

ANSWER: D

The value of credit-sensitive debt is $B=Ke^{-(r+s)t}$ . 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.

老师这个题具体从哪个知识点来解析，（D2）只符合其中几个选项

我的想法是D2上升，V上升

1和2 D2都是下降的

3,4D2 都是上升的，

选不出来答案D

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袁园_品职助教 · 2020年10月26日

同学你好！

就是从题目解析里给你的公式来判断。

你说的D2是什么？

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还是星宇好 · 2020年10月27日

突然明白

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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

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. 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？

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问一道题：NO.PZ2016082406000039

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