Merton distance-to-default: Difference between revisions
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''Credit risk'' | ''Credit risk''. | ||
The Merton distance-to-default measure is a credit risk metric, derived from option pricing theory. | The Merton distance-to-default measure is a credit risk metric, derived from option pricing theory. | ||
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* [[Black Scholes option pricing model]] | * [[Black Scholes option pricing model]] | ||
* [[Credit risk]] | * [[Credit risk]] | ||
* [[Default]] | |||
* [[KMV]] | * [[KMV]] | ||
[[Category:Identify_and_assess_risks]] | |||
Latest revision as of 01:05, 13 March 2023
Credit risk.
The Merton distance-to-default measure is a credit risk metric, derived from option pricing theory.
