问一道题：NO.PZ2016082406000090

问题如下：

You are given the following information about a firm. The market value of assets at time 0 is 1,000; at time 1 is 1,200. Short-term debt is 500; long-term debt is 300. The annualized asset volatility is 10%. According to the KMV model, what are the default point and the distance to default at time 1?

选项：

800 and 3.33

650 and 7.50

650 and 4.58

500 and 5.83

解释：

ANSWER: C

The default point is given by short-term liabilities plus half of long-term liabilities, which is $500+300/2=650$ . The distance to default at point 1 is $\frac{V-K}{\sigma_V}=\frac{1,200-650}{1,200\times0.10}\text{=}4.58$ .

老师，这里面0时刻asset=1000, 1时刻是1200，那分子的asset return 这里为什么不用(1200-1000)，然后再减去default threshold 650?

添加评论

1 个答案

小刘_品职助教 · 2020年05月25日

同学你好，

这道题在讲义里英文部分的表述有点问题，应该是expected asset value，以后面的公式为准哈。

前面的表述我们很快会勘误~

添加评论

1
回答
0
关注
381
浏览

我要回答关注问题

相关问题

NO.PZ2016082406000090 You are given the following information about a firm. The market value of assets time 0 is 1,000; time 1 is 1,200. Short-term is 500; long-term is 300. The annualizeasset volatility is 10%. Accorng to the KMV mol, whare the fault point anthe stanto fault time 1? 800 an3.33 650 an7.50 650 an4.58 500 an5.83 ANSWER: C The fault point is given short-term liabilities plus half of long-term liabilities, whiis 500+300/2=650500+300/2=650500+300/2=650. The stanto fault point 1 is V−KσV=1,200−6501,200×0.10=4.58\frac{V-K}{\sigma_V}=\frac{1,200-650}{1,200\times0.10}\text{=}4.58σVV−K=1,200×0.101,200−650=4.58. ROA可不可以用（1200-1000）／1000 = 0.2 计算出来？如果可以，那么不就可以用另一个公式计算出了吗？如果不可以，那么原因是什么呢？谢谢

2021-03-27 07:35 1 · 回答

讲义上没有写乘以1200 这个资产的market value呀，的公式不是这样的啊

2018-08-19 18:03 1 · 回答

老师，想问一下分母为什么要乘以1200呢

2018-08-06 15:41 1 · 回答

annualizeasset volatility的定义是什么不太明白1200*10%

2018-03-17 21:06 1 · 回答

问一道题：NO.PZ2016082406000090

1 个答案

1

0

381

相关问题