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備考FRM考試,F(xiàn)RM真題必不可少!

發(fā)布時間:2022-03-19 09:08編輯:融躍教育FRM

備考FRM考試,對于考生來說FRM真題的練習(xí)對于考生是非常重要的,尤其是近幾年的FRM真題練習(xí)。下面是列舉的相關(guān)真題,希望對備考的你有所幫助!

》》》2022年新版FRM一二級內(nèi)部資料免費(fèi)領(lǐng)?。 揪A版】

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According to the Merton model, which of the following most accurately describes the value of a firm’s debt?

A) The value of the firm and a short call on the value of the firm.

B) The value of the firm and a long call on the value of the firm.

C) The value of the firm’s equity and a long call on the firm.

D) The value of the firm’s equity and a short call on the firm.

答案:A

解析:Using the Merton model, the value of debt is the value of the firm less a call option on the value of the firm.

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.

答案:D

解析:Ais wrong; the payoff of a bond holder is equivalent to a riskless bond minus a put on the value 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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