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.


See also