Please Note: Blog posts are not selected, edited or screened by Seeking Alpha editors. R. Merton published a seminal paper [1] that laid the foundation for the development of structural credit ...

In this work, we model the empirically observed recovery risk premium by adding an additional correlated risk driver to Merton’s model for pricing corporate bonds. This risk driver represents the ...

Zoe Hansen / Investopedia The Merton model is a mathematical formula that stock analysts and commercial loan officers, among others, can use to judge a corporation’s risk of credit default.

The simple ratio is just wrong ... We follow Jarrow, van Deventer, and Wang's paper "A Robust Test of Merton's Structural Model of Credit Risk" in this note. We have enumerated a short list ...