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**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....

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- Spring '14
- EVGENIAV.GOLUBEVA
- Finance, initial guess, GRG Nonlinear