The Merton's Default Risk Model for Public Company

By Battulga Gankhuu

Published 2024-06-26

Everscope rating

1119.2

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

3 / 5

About this paper

Methodology: Merton's structural model. Problem types: Risk Management, Option Pricing, Default Probability Estimation.

arXiv:2406.18121 · Paper rankings

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