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备考FRM一级 | 2017-11-15

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　　In the following things about Merton model,which of the statement is true?

　　A.In Merton model the payment to debt holder can be seen as the payoff of a riskless bond plus a put on the value of the firm.

　　B.The sudden surprise （a jump），leading to an unexpected default can be captured by the by this model.

　　C.The model can take into account the default prior to the maturity of debt,when a borrower claims so.

　　D.The value of the firm is difficult to pin down cause the market-to-market value of debt is often unknown.

　　Answer:D

　　A is wrong;the payoff of a bond holder is equivalent to riskless bond minus a put on the value of a firm.

　　B is wrong;the firm follows lognormal diffusion process,it doesn't allow for sudden change.

　　C is wrong;because in this model default can only occur at the debt maturity.

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