FRM真题解析：默顿模型！

默顿模型是FRM考试的知识点，需要考生对于默顿模型的真题有所了解，下文是在FRM考试中的真题，一起看看吧！》》》点击领取2021年FRM备考资料大礼包（戳我免费领取）

Which of the following statements regarding the Merton model is true?

A) Afirm with numerous debt issues that mature at different times is easy to value with the Merton model.

B) The Merton model assumes a lognormal distribution and constant variance for changes in firm value.

C) The Merton model is able to predict default because it allows for default surprises (i.e., jumps).

D) Empirical results indicate that the Merton model is able to predict default better than na?ve models for investment grade bonds

答案：B【资料下载】[融跃财经]FRM一级ya题-pdf版

解析：Most firms have a variety of debt instruments that mature at different times and have many different coupon rates (i.e., not just zero-coupons as assumed by the Merton model); therefore, ChoiceAis false. The Merton model assumes that the underlying asset follows a lognormal distribution with constant variance; therefore, Choice B is true. The Merton model does not allow the firm value to jump. Since most defaults are surprises, the inability to have jumps in the firm value in the Merton model makes default too predictable; Therefore, Choice C is false. Jone, Mason, Rosenfeld (1984) report that a na?ve model of predicting that debt is riskless works better for investment grade bonds than the Merton model. However, the Merton

model works better than the na?ve model for debt below investment grade; therefore, Choice D is false.

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