The Merton's Default Risk Model for Public Company
Risk Management
2024-09-24 v3
Abstract
In this paper, we developed the Merton's structural model for public companies under an assumption that liabilities of the companies are observed. Using Campbell and Shiller's approximation method, we obtain formulas of risk-neutral equity and liability values and default probabilities for the public companies. Also, the paper provides ML estimators of suggested model's parameters.
Cite
@article{arxiv.2406.18121,
title = {The Merton's Default Risk Model for Public Company},
author = {Battulga Gankhuu},
journal= {arXiv preprint arXiv:2406.18121},
year = {2024}
}
Comments
18 pages. arXiv admin note: substantial text overlap with arXiv:2201.06012; text overlap with arXiv:2208.01974