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。
(ln(2)-ln(1)-(18%-0.5*0.25^2*3))/(0.25*square3)=1.40是有哪里错了吗
