Abstract: Nilai perusahaan sama dengan penjumlahan nilai saham dan utang (bond atau kewajiban) perusahaan. berfluktuasi. Bila lebih kecil dibanding bond perusahaan, maka default. KMV menentukan bahwa titik default jangka pendek setengah dari panjangnya. Semakin tinggi semakin memetakan jarak ke frekuensi (expected frequency). Keywords: risk/credit sensitive bond,leverage, probaility of default,...

In this paper, we study the calibration problem for the Merton–Vasicek default probability model [Robert Merton, On the pricing of corporate debt: the risk structure of interest rate, Journal of Finance 29 (1974) 449–470]. We derive conditions that guarantee existence and uniqueness of the solution. Using analytical properties of the model, we propose a fast calibration procedure for the condit...

ThisNews story (BMJ 2014;349:g4857, doi:10.1136/bmj.g4857) states that figures from Public Health England (PHE) show that Merton CCG in southwest London has the highest proportion of its population with a common mental health disorder (31%). However, PHE have confirmed that the 31% figure was incorrect, and have updated their data to show that common mental health disorder prevalence for Merton...

Bu çalışmada, sosyoloji tarihinin önemli simalarından birisi olarak kabul edilen Merton’un disiplinine kazandırdığı temel kavramlar ile bu özelinde geliştirdiği işlevselcilik kuramı üzerinde durulmaktadır. Çalışma, düşünsel coğrafyasını ve işlevselciliğe dair teorik çözümlemelerini ortaya koymayı hedeflemektedir. Türkçe’de Merton hakkında makale ya da bildiri düzeyinde herhangi bir çalışmaya ra...

BSM was never equipped to face an options market. The formula doesn't know what market is and even less so the meaning of inverting implying volatility from option price could possibly be.

In this article we consider the infinite-horizon Merton investment-consumption problem in a constant-parameter Black–Scholes–Merton market for an agent with constant relative risk aversion R. The classical primal approach is to write down candidate value function and use verification argument prove that solution problem. However, features of take it outside standard settings stochastic control,...

In response to relatively little evidence on the determinants of financial distress in cooperative institutions (e.g., Credit Unions), this paper proposes a indicator Merton Distance default (Merton DD), which was constructed with z-score, possessed improved predictive capability, but reducing equity volatility. This model possesses advantages both hazard and modified DD model, could timely ref...