merton model

AMITAG1990
Finance Junkie
Posts: 89
Joined: Sat Sep 22, 2012 12:35 pm

merton model

Postby AMITAG1990 » Sat Nov 03, 2012 11:31 am

Using the Merton Model, Value of Debt increases if all other parameter are fixed and

1) the value of firm decreases
2)riskless rate increases
3)Time to maturity increases
4) Volatility of firm decreases

a.1 & 2
b.1 & 4
c.2 & 3
d.2 & 4
Please explain logic to solve this.

Tags:

content.pristine
Finance Junkie
Posts: 356
Joined: Wed Apr 11, 2012 11:26 am

Re: merton model

Postby content.pristine » Tue Nov 06, 2012 1:30 pm

Hi Amit,

This question is from FRM-II Default Risk: Quantitative Methodologies.
Right now, we no longer offer this course.
However, I will try to get this answered by one of the faculties. :D
This may take time..

8-)

AMITAG1990
Finance Junkie
Posts: 89
Joined: Sat Sep 22, 2012 12:35 pm

Re: merton model

Postby AMITAG1990 » Tue Nov 06, 2012 1:41 pm

Kk. thanx. but i just got this question in FRM-I practice paper.

balajismz
Finance Junkie
Posts: 63
Joined: Mon Nov 05, 2012 9:13 am

Re: merton model

Postby balajismz » Tue Nov 06, 2012 9:19 pm

Reckon this is from Contingent Claims approach topic, but this is now excluded from part 1 of FRM this year

Balaji


Return to “FRM Part I”



Disclaimer

Global Association of Risk Professionals, Inc. (GARP®) does not endorse, promote, review or warrant the accuracy of the products or services offered by EduPristine for FRM® related information, nor does it endorse any pass rates claimed by the provider. Further, GARP® is not responsible for any fees or costs paid by the user to EduPristine nor is GARP® responsible for any fees or costs of any person or entity providing any services to EduPristine Study Program. FRM®, GARP® and Global Association of Risk Professionals®, are trademarks owned by the Global Association of Risk Professionals, Inc

CFA Institute does not endorse, promote, or warrant the accuracy or quality of the products or services offered by EduPristine. CFA Institute, CFA®, Claritas® and Chartered Financial Analyst® are trademarks owned by CFA Institute.

Utmost care has been taken to ensure that there is no copyright violation or infringement in any of our content. Still, in case you feel that there is any copyright violation of any kind please send a mail to abuse@edupristine.com and we will rectify it.