Merton Model: Assessing Corporate Credit Risk with Precision

Learn about the Merton Model for evaluating corporate credit risk, developed by Robert Merton in 1974, and used by analysts ...
Risk

Merton’s model with recovery risk

In this work, we model the empirically observed recovery risk premium by adding an additional correlated risk driver to Merton’s model for pricing corporate bonds. This risk driver represents the ...
Risk

Bank of England research backs Merton model

In an article published today in the Bank of England's June Financial Stability Review, Merxe Tudela and Garry Young describe how they tested the Merton model against a database of UK company failures ...
Global Finance

#5 Black-Scholes-Merton And Algorithms

Markets are known to be risky, but what if you could design insurance that would protect against losses? That’s the problem Robert Merton, Myron Scholes and the late Fisher Black solved by developing ...