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Ivy Ivy · 2021年09月30日

长期比短期小于1.5吗?不是300/140吗?

NO.PZ2020033003000013

问题如下:

A firm has current asset value of $1000 million, current liabilities value of $140 million, and long-term liabilities value of $300 million. Suppose the standard deviation of expected asset value is $86 million.

Assume the firm has no other debt and the ratio of long-term-liabilities-to-short-term-liabilities is below 1.5. Using Moody’s KMV Credit Monitor Model to calculate the distance to default is:

选项:

A.

9.26 standard deviations.

B.

8.26 standard deviations.

C.

8.05 standard deviations.

D.

7.34 standard deviations.

解释:

B is correct.

考点:KMV approach计算。

解析:

long-term-liabilities-to-short-term-liabilities is below 1.5

the default threshold is 140+0.5*300=290

Distance to default =(1000-290)/86=8.26 standard deviations

长期比短期小于1.5吗?不是300/140吗?
3 个答案

品职答疑小助手雍 · 2024年05月08日

题目说了assume低于1.5,那么就用下图第一个公式计算就行了140+0.5*300=290

CeciliaDD · 2024年05月08日

我也没看懂这个解释,我也是这么算的

品职答疑小助手雍 · 2021年10月02日

同学你好,题目说了assume嘛,单纯的考小于1.5时候的负债额计算公式。

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NO.PZ2020033003000013 问题如下 A firm hcurrent asset value of $1000 million, current liabilities value of $140 million, anlong-term liabilities value of $300 million. Suppose the stanrviation of expecteasset value is $86 million. Using Moo’s KMV Cret Monitor Mol to calculate the stanto fault is: 9.26 stanrviations. B.8.05 stanrviations. 8.23 stanrviations. 7.34 stanrviations. B is correct.考点KMV approach计算。解析: long-term-liabilities-to-short-term-liabilities is above 1.5, 300/140=2.14the fault thresholis 140+(0.7-0.3*140/300)*300=308stanto fault =(1000-308)/86=8.05 stanrviations long-term-liabilities-to-short-term-liabilities is above 1.5, 300/140=2.14the fault thresholis 140+(0.7-0.3*140/300)*300=308

2024-05-07 10:39 2 · 回答

NO.PZ2020033003000013 问题如下 A firm hcurrent asset value of $1000 million, current liabilities value of $140 million, anlong-term liabilities value of $300 million. Suppose the stanrviation of expecteasset value is $86 million. Assume the firm hno other anthe ratio of long-term-liabilities-to-short-term-liabilities is below 1.5. Using Moo’s KMV Cret Monitor Mol to calculate the stanto fault is: 9.26 stanrviations. B.8.26 stanrviations. 8.05 stanrviations. 7.34 stanrviations. B is correct.考点KMV approach计算。解析: long-term-liabilities-to-short-term-liabilities is below 1.5the fault thresholis 140+0.5*300=290stanto fault =(1000-290)/86=8.26 stanrviations 为什么current liab是指短期债,不是指债的总额?

2022-10-17 15:56 1 · 回答