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金融民工阿聪 · 2021年05月01日

理解是用option-like类比，但有问题

  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.

问题如下：

1.期初的时候，全部投了债券，所以期初debt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debt对吗？

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袁园_品职助教 · 2021年05月03日

同学你好！

不好意思误导你了

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.

翻译一下是：一个不分红的100%股权融资的公司发了一个面值为50m零息债，三年后到期。

所以公司成立时是100% equity；现在是equity+bond，其中bond是50m；三年后也就是bond到期时公司值40m，那么这40m都要拿去还债，股东一分钱都拿不到了

袁园_品职助教 · 2021年05月02日

问题如下：

1.期初的时候，全部投了债券，所以期初debt是50， 然后equity 是0对吗？

对的。（是公司全部用发债的方式来融资）


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debt对吗？

对的，以为债权人优先权在股东之前，所以公司只要有钱，都应该先拿去还债，股东只能claim剩余价值

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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. 能否下，如果是C这样的话到期应该是怎么样的一个Firm Value呢？

2021-03-31 16:41 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. 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