재무연구 제 권 호 (2013년 5월)
Asian Review of Financial Research, Vol., No..
pp.1805~1820
pp.1805~1820
An iteration method for implementing Merton model
김인준 연세대학교 경영학과
변석준 카이스트 경영대학
황소영 카이스트 경영대학
Merton’s (1974) model is one of the most important models for analyzing the credit risk of a company. This paper develops an iteration method for implementing Merton’s (1974) model and designs a simulation study to compare our method with the traditional implementation method. This paper also shows some drawbacks of the traditional implementation method.
Merton’s (1974) model is one of the most important models for analyzing the credit risk of a company. This paper develops an iteration method for implementing Merton’s (1974) model and designs a simulation study to compare our method with the traditional implementation method. This paper also shows some drawbacks of the traditional implementation method.
