[2013년 제 2차] An Iteration Method for Implementing Merton Model
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2013-06-05
Merton’s (1974) model is one of the most important models for analyzing the credit risk of a company. This paper develops an iteration method for implementing Merton’s (1974) model and designs a simulation study to compare our method with the traditional implementation method. This paper also shows some drawbacks of the traditional implementation method.
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