Modeling Default Risk¶
Crosbie, P., & Bohn, J. (2003). Modeling Default Risk.
Cited by¶
1 citation across 1 artifact.
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Domain-specific¶
- Black–Scholes Model
- The Merton structural credit model deploys the same replication logic to measure default risk, and it was commercialized at scale by KMV Corporation (acquired by Moody's in 2002) into the Expected Default Frequency (EDF) measure that banks used to score corporate credit
This sourceKMV's commercialization of the Merton structural model as the Expected Default Frequency (EDF) measure, under Moody's KMV after the acquisition.
- The Merton structural credit model deploys the same replication logic to measure default risk, and it was commercialized at scale by KMV Corporation (acquired by Moody's in 2002) into the Expected Default Frequency (EDF) measure that banks used to score corporate credit
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Registry ID ref:699bb99bee36 · see in the full table