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| Model de Mora de Merton× | Ajustament de Valoració de Deute× | |
|---|---|---|
| Camp | Finances quantitatives | Finances quantitatives |
| Família | Regression model | Regression model |
| Any d'origen≠ | 1974 | 2000s |
| Autor original≠ | Robert C. Merton | Jon Gregory, Christoph Burgard |
| Tipus≠ | Credit Risk Model | Valuation Framework |
| Font seminal≠ | Merton, R. C. (1974). On the pricing of corporate debt: The risk structure of interest rates. Journal of Finance, 29(2), 449-470. DOI ↗ | Gregory, J. (2009). Counterparty Credit Risk: The New Challenge for Global Financial Markets. John Wiley & Sons. link ↗ |
| Àlies | Structural Credit Model, Asset-to-Equity Model | Own Credit Adjustment, OCA |
| Relacionats | 3 | 3 |
| Resum≠ | The Merton model (1974) is a structural approach to credit risk in which a firm defaults when its asset value falls below liabilities at maturity. Equity is viewed as a call option on firm value, and debt is an implicit short put position. The model links company fundamentals (asset volatility) to default probability and is foundational for modern credit risk measurement. | Debit Valuation Adjustment (DVA) represents the value of your own credit risk to counterparties. DVA measures the gain in derivative value if you default on your obligations—a benefit for your shareholders because creditors receive less than the full derivative value. DVA is controversial but now mandatory under IFRS 13 for fair value accounting. |
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