Merton distance-to-default

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Revision as of 21:39, 11 February 2017 by 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/)
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Credit risk

The Merton distance-to-default measure is a credit risk metric, derived from option pricing theory.


See also


Other links

Credit risk, Will Spinney, ACT 2008

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