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cika · 2025年03月14日

老师，这道题还需要看么

  1. FRM II
  2. Credit Risk Measurement And Management

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

老师，这道题还需要看么

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1 个答案

pzqa27 · 2025年03月14日

嗨，爱思考的PZer你好：


这个计算不需要掌握了，已经不在25年的考纲里了，目前需要掌握KMV和Merton模型的对比即可。

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