An approach used to estimate the credit risk of a company's debt using market information as the basis of the estimate. This model takes into consideration the firm's current market value, the volatility of its assets, the outstanding debt, and debt maturity.
Related information about Merton model:
- Merton Model - Wikipedia, the free encyclopedia
The Merton model is a model proposed by Robert C. Merton in 1974 for assessing the credit risk of a company by characterizing the company's equity as a call ...
- Merton Model Definition | Investopedia
A model, named after the financial scholar Robert C. Merton, that was developed in the 1970s and is used today to evaluate the credit risk of a corporation's debt ...
- Merton for Dummies: A Flexible Way of Modelling Default Risk
Nov 1, 2003 ... In this paper we show how a simplified "spread sheet" version of the Merton model produces distance to default measures similar to the original ...
- Merton's Model, Credit Risk, and Volatility Skews - CiteSeer ...
compare our implementation of Merton's model with the traditional ... As inputs, Merton's model requires the current value of the company's assets, the volatility of ...
- Expected default frequency (EDF, PD) with Merton Model - YouTube
Sep 17, 2008 ... A visual and Excel-based review of the Merton model used to estimate EDF (or probability of default). This is a structural approach; i.e,. default ...
- Forecasting Default with the KMV-Merton Model
Merton model to a similar but much simpler alternative, we find that it ... We conclude that the KMV-Merton model does not produce a sufficient statistic for ...
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Assumptions in the Merton model. 1. The firm asset value Vt .... Actual spreads are larger than those predicted by Merton's model. 3. Default premiums are ...
- Merton model, a summary of the issues | Bionic Turtle
Since we get a lot of questions on Merton (some issues are merely notational), I wanted to collect my observations into a single place. I hope ...