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.
Using Moody’s KMV Credit Monitor Model to calculate the distance to default is:
选项：
A.9.26 standard deviations.
B.8.05 standard deviations.
C.8.23 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 above 1.5, 300/140=2.14
the default threshold is 140+(0.7-0.3*140/300)*300=308
Distance to default =(1000-308)/86=8.05 standard deviations
long-term-liabilities-to-short-term-liabilities is above 1.5, 300/140=2.14
the default threshold is 140+(0.7-0.3*140/300)*300=308
