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小宋宋 · 2021年04月13日

time to maturity 和 debt 有关吗？ 应该是客观认为存在吧

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2016082406000039

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.

time to maturity 和 debt 有关吗？ 应该是客观认为存在吧。

是混淆象吧

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1 个答案

品职答疑小助手雍 · 2021年04月14日

嗨，努力学习的PZer你好：


根据解析里第一行那个公式，t越小，那个指数项就越大，B就越大。iii说t越大，那就错了。

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