【FRM每日一题】一级：市场风险测量与管理
备考FRM一级 | 2015-09-23
A firm’s assets are currently valued at $700 million, its current liabilities are $120 million, and long-term liabilities are $300 million. The standard deviation of expected asset value is $76 million. Assume the firm has no other debt and that the ratio of long-term-liabilities-to-short-term liabilities is less than 1.5. What will be the appropriate distance to default measure when utilizing Moody’s KMV Credit Monitor Model? A.9.21 standard deviations.
B.5.66 standard deviations
C.3.68 standard deviations
D.1.87 standard deviations
Answer: B
The KMV calculation is as follows:
Distance to default = (asset value - liability value)/standard deviation of asset value
Liability value = short-term liabilities + 0.5 × long-term liabilities
Distance to default = [$700m - ($120m + 0.5 × $300m)]/$76m
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