KMV模型下的DD

问题如下：

Season Inc. currently has assets valued at $500 million and its liabilities sum up to $200 million. The standard deviation of asset values is $100 million. What will be the approximate distance to default using the KMV calculation?

选项：

A.

2 standard deviations

B.

3 standard deviations

C.

5 standard deviations

D.

Cannot be determined

解释：

B is correct.

考点：Distance to default

解析：

Using Equation: $\text{DD}=z=\frac{\text{A}-\text{K}}{\sigma_A}$, the DD is $\;\frac{500-200}{100}=3$standard deviations.