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  1. E

    Merton model valuation

    Hi, I have a practice question (non-BT) related to the use of Merton's debt valuation model. An investor has a large position of bonds issued by XYZ Limited. He has hedged these bonds with equity using Merton’s debt valuation model. Suppose the value takes an unprecedented tumble, but the...
  2. E

    VaR spreadsheet

    Hi Nicole, I'm going over David's video for Allen Chapter 3 Putting VaR to work. I couldn't find a thread that talks about this in particular so I'm hoping you can help me out. On Slide 45 of 52 David has this Excel spreadsheet that I wish to follow along with formulas. I can't find it as...