Mathematical Models for Financial Management By MERTON
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Comparing Prediction Power of Artificial Neural Networks Compound Models in Predicting Credit Default Swap Prices through Black–Scholes–Merton Model
Default risk is one of the most important types of risks, and credit default swap (CDS) is one of the most effective financial instruments to cover such risks. The lack of these instruments may reduce investment attraction, particularly for international investors, and impose potential losses on the economy of the countries lacking such financial instruments, among them, Iran. After the 2007 fi...
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With the emergence of the current financial crisis, societies see the increasing importance of credit risks management in financial institutions. Four mainstream credit risk rating models have been developed, however, their applicability in the Taiwan market is yet to be evaluated. In this paper, six major credit risk models, including Merton Option Pricing Model,Discriminant Analysis Model, Lo...
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