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?