Statements (23)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
credit risk model
|
| gptkbp:assumes |
firm's assets follow geometric Brownian motion
|
| gptkbp:basedOn |
gptkb:Black-Scholes_model
|
| gptkbp:developedBy |
gptkb:Robert_C._Merton
|
| gptkbp:field |
finance
mathematical finance credit risk |
| gptkbp:hasConcept |
default occurs if asset value falls below debt at maturity
|
| https://www.w3.org/2000/01/rdf-schema#label |
Merton model
|
| gptkbp:influenced |
KMV model
|
| gptkbp:input |
risk-free rate
time to maturity debt level firm asset value firm asset volatility |
| gptkbp:introducedIn |
1974
|
| gptkbp:publishedIn |
gptkb:Journal_of_Finance
|
| gptkbp:relatedTo |
structural credit risk models
|
| gptkbp:usedFor |
credit risk assessment
estimating probability of default valuing corporate debt |
| gptkbp:bfsParent |
gptkb:Black–Scholes_model_with_dividends
|
| gptkbp:bfsLayer |
7
|