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和棋 · 2020年10月25日

问一道题：NO.PZ2016082406000039

  1. FRM II
  2. Credit Risk Measurement And Management

问题如下：

Using the Merton model, the value of the debt increases if all other parameters are fixed and

I. The value of the firm decreases.

II. The riskless interest rate decreases.

III. Time to maturity increases.

IV. The volatility of the firm value decreases.

选项：

A.

I and II only

B.

I and IV only

C.

II and III only

D.

II and IV only

解释：

ANSWER: D

The value of credit-sensitive debt is B=Ke−(r+s)tB=Ke^{-(r+s)t}.  This increases (1) if the risk-free interest rate decreases, or (2) if the credit spread decreases, or (3) if the maturity decreases. The credit spread decreases if the value of the firm goes up, or if the leverage goes down, or if the volatility goes down. Hence, the value of debt increases if the riskless rate decreases or if the volatility decreases.

我不能理解（4）他说杠杆率下降，但是杠杆率等于A/E，当债务 上升的时候杠杆率应该是上升的，为什么杠杆率是下降的呢？

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2 个答案

袁园_品职助教 · 2020年10月26日

同学你好！

要具体看什么债务，例如债券是不会随着市场价值不断调整金额的

袁园_品职助教 · 2020年10月26日

同学你好！

你说的（4）是指解析里跟在（3）后面的那句话吗？ The credit spread decreases if the value of the firm goes up, or if the leverage goes down, or if the volatility goes down.

这句话的意思是说 当 firm value 上升 或 leverage 下降 或 波动率下降 时，credit spread 就会减小，带入公式里就可以看到 debt value 会增加

没有在说 debt 上升，leverage 下降（注意 debt 不等于 debt value）

 

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