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。
我有三个问题：
1 题目问the result obtained by this bank， 这个问题是什么意思？
2 答案求的是DD,那DD的单位什么？是million吗?
3 题目中三年的债券par是1million， 是long term debt, 没有short term debt， 这个threshhold是否要用0.5LT+ST的公式计算呢？
3.DD的公式应该是这样的（这道题的default threshold是债券面值本身，1million）：