NO.PZ2020033002000037
问题如下:
Suppose a company ’s asset structure is a $1 million face value 3-year zero-coupon debt and equity, with total assets of $ 2 million, asset return of 18% and asset volatility of 25%. Assume its asset prices follows log-normal distribution. A bank uses KMV model to estimate the distance to default of this company. Which of the following is most likely the result obtained by this bank?
选项:
A. 2.32
B. 1.84
C. 2.57
D. 3.68
解释:
C is correct.
考点:The KMV Approach
解析:直接使用KMV模型DD的公式即可:
DD=\frac{\ln\left(V\right)-\ln\left(K\right)+(ROA-\frac{\sigma_V^2}2)\ast t}{\sigma_V\times\sqrt t}
得到d2也就是dd等于2.57。
如题所述,谢谢老师哈