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| Merton-Ausfallmodell× | Risikoneutrale Bewertung× | |
|---|---|---|
| Fachgebiet | Quantitative Finanzwirtschaft | Quantitative Finanzwirtschaft |
| Familie | Regression model | Regression model |
| Entstehungsjahr≠ | 1974 | 1979 |
| Urheber≠ | Robert C. Merton | John Harrison and David Kreps |
| Typ≠ | Credit Risk Model | Fundamental Principle |
| Wegweisende Quelle≠ | Merton, R. C. (1974). On the pricing of corporate debt: The risk structure of interest rates. Journal of Finance, 29(2), 449-470. DOI ↗ | Harrison, J. M., & Kreps, D. M. (1979). Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory, 20(3), 381-408. DOI ↗ |
| Aliasnamen | Structural Credit Model, Asset-to-Equity Model | Risk-Neutral Measure, Q-Measure |
| Verwandt≠ | 3 | 4 |
| Zusammenfassung≠ | 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. | Risk-neutral valuation (1979) is the fundamental principle that derivative prices equal the expected payoff discounted at the risk-free rate, computed under a risk-neutral probability measure (Q-measure). This principle, formalized by Harrison and Kreps, eliminates the need to estimate risk premia and is the foundation of modern derivatives pricing. |
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