NO.PZ2016082406000037
问题如下:
The capital structure of HighGear Corporation consists of two parts: one five- year zero-coupon bond with a face value of $100 million and the rest is equity. The current market value of the firm’s assets is $130 million and the expected rate of change of the firm’s value is 25%. The firm’s assets have an annual volatility of 30%. Assume that firm value is lognormally distributed, with constant volatility. The firm’s risk management division estimates the distance to default using the Merton model, or Given the distance to default, the estimated default probability is
选项:
A. 2.74%
B. 12.78%
C. 12.79%
D. 30.56%
解释:
ANSWER: A
We compute . The PD is then .
老师,根据公式算出了DD,但是翻了半天没找到怎么进一步算PD了~