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...
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...