Merton distance-to-default: Difference between revisions
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imported>Doug Williamson (Create the page. Sources: The Treasurer February 2017 p43 and Breaking Down Finance webpage http://breakingdownfinance.com/finance-topics/risk-management/merton-model/) |
imported>Doug Williamson (Delete broken link.) |
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Revision as of 21:46, 11 February 2017
Credit risk
The Merton distance-to-default measure is a credit risk metric, derived from option pricing theory.
