In the context of the KMV Credit Monitor Model, the market value of a risky loan made by a lender to a borrower can be expressed as:

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The KMV Credit Monitor Model presents the market value of a risky loan as F(r) = Be-ir[(1/d)N(h₁) + N(h₂)]. This formula calculates the present value of the expected cash flows from the loan, discounted at the risk-adjusted rate using the borrower's asset value and other variables such as the borrower's volatility and the lender's recovery rate. Option B is the only one that accurately reflects the KMV credit monitor model formula.

In the Context of the KMV Credit Monitor Model, the Market