← 返回数学题库
2184数理金融中等数值题medium

Required Asset Cushion for a Target Distance to Default 14

题目

Using the simplified distance-to-default approximation DD = ln(A/F)/(sigma*sqrt(T)) and ignoring drift adjustments, what asset-to-face-value ratio A/F is needed to achieve DD = 1.2 when sigma = 0.15 and T = 2?

解题计时

0:00

提交作答时记录,用于后续平均用时统计。

你的答案