Financial Risk Manager Part 2
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You are given the following information about firm A:
- Market value of asset at time 0 = 1000
- Market value of asset at time 1 = 1200
- Short-term debt = 500
- Long-term debt = 300
- Annualized asset volatility = 10%
According to KMV model, what are the default point and the distance to default at time 1?
You are given the following information about firm A:
- Market value of asset at time 0 = 1000
- Market value of asset at time 1 = 1200
- Short-term debt = 500
- Long-term debt = 300
- Annualized asset volatility = 10%
According to KMV model, what are the default point and the distance to default at time 1?
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A
800 | 3.33
B
650 | 7.50
C
650 | 4.58
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