为什么rf增加，equity价值增加呢

问题如下：

Analyst Greg is employing the Merton model to both value a firm’s equity and estimate a physical default probability. He has collected the following information:

•The firm’s default threshold one year forward is $10 million; e.g., face value of short-term debt is $10 million.

•The firm current asset value is $12.75 million with an expected return of 8% per annum with continuous compounding

•The volatility of the firm’s assets is 9.6%

•The risk-free rate is 2%

His exercise includes two components: one, valuation of the firm’s equity market value by treating equity as a call option on the firm’s assets; two, estimate of default probability by calculation of a forward distance to default. Greg makes two assumptions:

I. An increase in the risk-free rate will increase an estimate of the firm’s current equity market value, and

II. An increase in the risk-free rate will decrease the estimated default probability.

Which of Greg’s two assumptions is correct?

选项：

A.

Neither

B.

I only

C.

II only

D.

Both

解释：

Just as an increase in the risk-free rate increases the value of a call option, an increase in the risk-free rate increases the equity value under Merton. However, the risk-free rate has no impact on the Merton PD; the physical drift of 8% is used in that application.