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还是星宇好 · 2020年10月26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.

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？

还是星宇好 · 2020年10月27日

突然明白

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