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

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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
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ounds nNegative
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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
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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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