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merton-model

  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. Nicole Seaman

    P2.T6.710. Merton, survival time, and z-spread

    Concept: These on-line quiz questions are not specifically linked to learning objectives, but are instead based on recent sample questions. The difficulty level is a notch, or two notches, easier than bionicturtle.com's typical question such that the intended difficulty level is nearer to an...
  3. Nicole Seaman

    P2.T6.704 Linear discriminant analysis (LDA according to De Laurentis)

    Learning objectives: Apply the Merton model to calculate default probability and the distance to default and describe the limitations of using the Merton model. Describe linear discriminant analysis (LDA), define the Z-score and its usage, and apply LDA to classify a sample of firms by credit...
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