विधियों की तुलना करें
चुनी हुई विधियों की आमने-सामने समीक्षा करें; भिन्नता वाली पंक्तियाँ रेखांकित हैं।
| डेबिट मूल्यांकन समायोजन× | मर्टन डिफॉल्ट मॉडल× | |
|---|---|---|
| क्षेत्र | मात्रात्मक वित्त | मात्रात्मक वित्त |
| परिवार | Regression model | Regression model |
| उद्भव वर्ष≠ | 2000s | 1974 |
| प्रवर्तक≠ | Jon Gregory, Christoph Burgard | Robert C. Merton |
| प्रकार≠ | Valuation Framework | Credit Risk Model |
| मौलिक स्रोत≠ | Gregory, J. (2009). Counterparty Credit Risk: The New Challenge for Global Financial Markets. John Wiley & Sons. link ↗ | Merton, R. C. (1974). On the pricing of corporate debt: The risk structure of interest rates. Journal of Finance, 29(2), 449-470. DOI ↗ |
| उपनाम | Own Credit Adjustment, OCA | Structural Credit Model, Asset-to-Equity Model |
| संबंधित | 3 | 3 |
| सारांश≠ | 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. | 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. |
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