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
C.II and III only
D.II and IV only
解释:
ANSWER: D
The value of credit-sensitive debt is . 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.
为什么volatility会影响Firm Value?