FERMBonusHW - model value of S 59.99999999 model value of...

Info icon This preview shows pages 1–6. Sign up to view the full content.

View Full Document Right Arrow Icon
Microsoft Excel 14.4 Answer Report Worksheet: [FIN 4513 Bonus Homework.xls]Sheet3 Report Created: 12/3/2014 4:06:38 PM Result: Solver has converged to the current solution. All constraints are satisfied. Solver Engine Engine: GRG Nonlinear Solution Time: 1.486941 Seconds. Iterations: 25 Subproblems: 0 Solver Options Max Time Unlimited, Iterations Unlimited, Precision 0.000001, Use Automatic Scaling Convergence 0.0001, Population Size 100, Random Seed 0, Derivatives Forward, Require Bo Max Subproblems Unlimited, Max Integer Sols Unlimited, Integer Tolerance 1%, Assume Non Objective Cell (Min) Cell Name Original Value Final Value $B$38 1.9656107635 5.38857E-012 Variable Cells Cell Name Original Value Final Value Integer $B$2V initial guess 100 139.9269011 Contin $B$2sigma V initial guess 0.75 0.2394470594 Contin Constraints NONE
Image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full Document Right Arrow Icon
ounds nNegative
Image of page 2
Number 7 T 4 F 100 r 0.047 S 60 sigma s 0.475 V initial guess 139.9269011 sigma V initial guess 0.239447059 d1 1.039101827 d2 0.560207708
Image of page 3

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full Document Right Arrow Icon
Image of page 4
Image of page 5

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full Document Right Arrow Icon
Image of page 6
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: model value of S 59.99999999 model value of sigma S 0.475002321 model minus given S-5.1400E-009 model minus given sigma 2.32132E-006 5.38857E-012 Number 8 t 1 2 3 4 short term debt 10 12 14 18 long term debt 100 110 120 130 DPT 60 67 74 83 Distance to default D 1.144680909 1.579031019 2.18501651 2.9055221 Default Probability 0.1261706813 0.057164471 0.01444382 0.0018332 Number 9 Distance to default D 0.9776293691 1.106537913 1.31699124 1.56910978 Default Probability 0.1641288331 0.134246882 0.09392078 0.05831118 With a ROA of 6% compared to ROA of 10%, default probabiliTes were higher w ROA and risk are inversly related in the KMV model. ±he lower the ROA, the mo V0 139.926901 u 0.1 stdev 0.23944706 u 0.06 ith a lower ROA. Also, the longer the bond has Tll maturity, the lower the pr ore risk associated and a higher probability of default. robability of default....
View Full Document

{[ snackBarMessage ]}

What students are saying

  • Left Quote Icon

    As a current student on this bumpy collegiate pathway, I stumbled upon Course Hero, where I can find study resources for nearly all my courses, get online help from tutors 24/7, and even share my old projects, papers, and lecture notes with other students.

    Student Picture

    Kiran Temple University Fox School of Business ‘17, Course Hero Intern

  • Left Quote Icon

    I cannot even describe how much Course Hero helped me this summer. It’s truly become something I can always rely on and help me. In the end, I was not only able to survive summer classes, but I was able to thrive thanks to Course Hero.

    Student Picture

    Dana University of Pennsylvania ‘17, Course Hero Intern

  • Left Quote Icon

    The ability to access any university’s resources through Course Hero proved invaluable in my case. I was behind on Tulane coursework and actually used UCLA’s materials to help me move forward and get everything together on time.

    Student Picture

    Jill Tulane University ‘16, Course Hero Intern