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Default Probability Using Merton Model

Estimates the probability of default of a firm using the Merton option pricing formula

The Merton model for assessing the structural credit risk of a company models the equity of a company as a call option on its assets and the liability is a strike price. For more information on the Merton model, see Default Probability by Using the Merton Model for Structural Credit Risk.


mertonmodel Estimates probability of default using Merton model
mertonByTimeSeriesEstimate default probability using time-series version of Merton model