Merton distance-to-default

From ACT Wiki

Revision as of 20:47, 9 February 2019 by imported>Doug Williamson (Remove surplus link.)

(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)

Jump to navigation Jump to search

Credit risk

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

See also

Retrieved from ‘https://wiki.treasurers.org/w/index.php?title=Merton_distance-to-default&oldid=32411’

Navigation menu