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和棋 · 2021年03月31日

能否解释下，如果是C选项这样的话到期应该是怎么样的一个Firm Value呢？

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2016082405000017

问题如下：

A non-dividend paying firm financed with 100% equity issues a zero-coupon bond with a principal amount of $50 million due in three years. What are the values of the different components of the firm’s capital structure at the maturity date of the bond if the firm value at that time is $40 million?

选项：

A.

$50 million in debt and $10 million in equity.

B.

$10 million in debt and $30 million in equity.

C.

$50 million in debt and $40 million in equity.

D.

$40 million in debt and $0 in equity.

解释：

D The value of equity is the value of a call on the value of the firm with an exercise price equal to the face value of the zero-coupon bond, ST = Max(VT - F,0) = Max(40 - 50, 0) = 0

(i.e., equity has no value). The value of debt is DT = F - Max(F - VT ) > 0 or alternatively,

DT= VT- ST. Therefore, the value of debt is 40 - 0 = 40 = $40 million.

能否解释下，如果是C选项这样的话到期应该是怎么样的一个Firm Value呢？

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1 个答案

袁园_品职助教 · 2021年03月31日

同学你好！

这道题目里资产40million了，负债大于40million，这时候资不抵债，所以破产清算。此时债务的价值就只能是40million，股权价值为零。

C选项的话可以是资产90m，负债50m，股权就是40m

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NO.PZ2016082405000017 A non-vinpaying firm financewith 100% equity issues a zero-coupon bonwith a principamount of $50 million e in three years. Whare the values of the fferent components of the firm’s capitstructure the maturity te of the bonif the firm value thtime is $40 million? $50 million in an$10 million in equity. $10 million in an$30 million in equity. $50 million in an$40 million in equity. $40 million in an$0 in equity. The value of equity is the value of a call on the value of the firm with exercise priequto the favalue of the zero-coupon bon ST = Max(VT - F,0) = Max(40 - 50, 0) = 0 (i.e., equity hno value). The value of is = F - Max(F - VT ) > 0 or alternatively, = VT- ST. Therefore, the value of is 40 - 0 = 40 = $40 million. 问题如下 1.期初的时候，全部投了债券，所以期初bt是50， 然后equity 是0对吗？ 2.后续的变动，就是高于50的部分变成equity，然后低于50，则剩余的就全部是bt对吗？

2021-05-01 21:35 2 · 回答

A non-vinpaying firm financewith 100% equity issues a zero-coupon bonwith a principamount of $50 million e in three years. Whare the values of the fferent components of the firm’s capitstructure the maturity te of the bonif the firm value thtime is $40 million? $50 million in an$10 million in equity. $10 million in an$30 million in equity. $50 million in an$40 million in equity. $40 million in an$0 in equity. The value of equity is the value of a call on the value of the firm with exercise priequto the favalue of the zero-coupon bon ST = Max(VT - F,0) = Max(40 - 50, 0) = 0 (i.e., equity hno value). The value of is = F - Max(F - VT> 0) or alternatively, = VT- ST. Therefore, the value of is 40 - 0 = 40 = $40 million. The value of is  = F - Max(F - VT> 0) or alternatively，老师后面那里应该是  = F - Max(F - VT，0) ，为啥那里写了个＞0

2020-10-15 12:39 1 · 回答

A non-vinpaying firm financewith 100% equity issues a zero-coupon bonwith a principamount of $50 million e in three years. Whare the values of the fferent components of the firm’s capitstructure the maturity te of the bonif the firm value thtime is $40 million? $50 million in an$10 million in equity. $10 million in an$30 million in equity. $50 million in an$40 million in equity. $40 million in an$0 in equity. The value of equity is the value of a call on the value of the firm with exercise priequto the favalue of the zero-coupon bon ST = Max(VT - F,0) = Max(40 - 50, 0) = 0 (i.e., equity hno value). The value of is = F - Max(F - VT> 0) or alternatively, = VT- ST. Therefore, the value of is 40 - 0 = 40 = $40 million. (i.e., equity hno value). The value of is  = F - Max(F - VT> 0) or alternatively, 怎么理解啊

2020-07-17 00:40 1 · 回答

可否下40m in bt    

2019-09-10 10:03 1 · 回答