This preview has intentionally blurred sections. Sign up to view the full version.
View Full DocumentThis preview has intentionally blurred sections. Sign up to view the full version.
View Full DocumentThis preview has intentionally blurred sections. Sign up to view the full version.
View Full Document
Unformatted text preview: model value of S 59.99999999 model value of sigma S 0.475002321 model minus given S5.1400E009 model minus given sigma 2.32132E006 5.38857E012 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
 Fall '14
 EVGENIAV.GOLUBEVA
 Finance, initial guess, GRG Nonlinear

Click to edit the document details