題組內容

4.Colosseum Corp. has a zero coupon bond that matures in five year with a face value of $65,000. The current value of the company's assets is $62,000, and the standard deviation of its return on assets is 34 percent per year. The risk-free rate is 7 percent per year, compounded continuously. 61adca6c39ab1.jpg

(4) Assume the company can restructure its assets so that the standard deviation of its return on assets increases to 43 percent per year. What happens to the value of the debt? N(d1)=0.79 N(d2)=0.43 (3分)