Merton model of risky debt
Merton (1974) and Black and Scholes (1973) proposed a model to link the credit risk of a firm to its capital structure. The capital structure comprises a zero coupon bond, equity with no dividend payments, and the firm's asset value is assumed to follow a log normal diffusion process more ...
All numerical calculations are included in the Excel file. Click on the Excel Web App download button for a copy of the xlsx file.
- Published: 9 September 2014
- Revised: Tuesday 25th of February 2020 - 08:22 AM, [Australian Eastern Standard Time (EST)]