在備考FRM考試中，看網(wǎng)課是很重要的，另外，在臨近考試時(shí)，做大量的真題練習(xí)也是很重要的。下文是小編列舉的相關(guān)真題解析，希望對(duì)備考的你有所幫助！

Analyst Greg is employing the Merton model to both value a firm’s equity and estimate a physical default probability. He has collected the following information:

The firm’s default threshold one year forward is $10 million; e.g.,face value of short-term debt is $10 million.

The firm current asset value is $12.75 million with an expected return of 8% per annum with continuous

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compounding

The volatility of the firm’s assets is 9.6%

The risk-free rate is 2%

His exercise includes two components: one, valuation of the firm’s equity market value by treating equity as a call option on the firm’s assets; two, estimate of default probability by calculation of a forward distance to default. Greg makes two assumptions:

Ⅰ.An increase in the risk-free rate will increase an estimate of the firm’s current equity market value

Ⅱ.An increase in the risk-free rate will decrease the estimated default probability.

Which of Greg’s two assumptions is correct?

A) Neither

B) I only

C) II only

D) Both

答案：B

解析：Just as an increase in the risk-free rate increases the value of a call option, an increase in the risk-free rate increases the equity value under Merton. However, the risk-free rate has no impact on the Merton PD; the actual return of 8% is used in that application.

The Merton model and the Moody’s KMV model use different approaches to determine the probability of default. Which of the following is consistent with Moody’s KMV model?

A) The distance to default is 1.96, so there is a 2.5% probability of default.

B) The distance to default is 1.96, so there is a 5.0% probability of default.

C) The historical frequency of default for corporate bonds has been 6%. Updating this with Altman’s Z-score analysis would provide a probability of default that is somewhat different than 6%.

D) The distance to default is 1.96 and, historically, 1.2% of firms with this characterization have defaulted, so there is a 1.2% probability of default.

答案：D

解析：Moody’s KMV model evaluates the historical frequency of default for firms with similar distances to default and uses this as the probability of default.

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