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The expected market value of assets in one year ofABC company is $83 million. The annual volatility of asset returns for ABC has been determined to be $8.1 million. If the distance to default is 4.4, ABC's default threshold is closest to:

A) $47.36 million.

B) $32.19 million.

C) $25.72 million.

D) $20.66 million.

答案：A

解析：The default threshold is calculated as:

Distance to default = ($83 million–default threshold) / $8.1 million = 4.4

Default threshold = $47.36 million

The spread on a one-year BBB-rated bond relative to the risk-free treasury of similar maturity is 1.4%. It is estimated that the contribution to this spread by all noncredit factors (e.g., liquidity risk, taxes) is 0.4%.Assuming the loss given default rate for the underlying credit is 40%, what is, approximately, the implied default probability for this bond?

A) 1.67%

B) 2.33%

C) 3.50%

D) 2.50%

答案：D扫码咨询，立享优惠

解析：The probability of default equals the credit risk spread divided by the loss given default. PD = spread/LGD. Here, the spread due to credit risk equals 1.4% - 0.4% or 1.0% and the loss given default is 40%. The probability of default is then 2.5%.

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