手法を比較

	確率的ボラティリティモデル（ヘストンモデル）	信用リスクモデル（マートン、KMV、クレジット・メトリックス）
分野	ファイナンス	ファイナンス
系統	Regression model	Regression model
提唱年	1993	1974
提唱者	Steven L. Heston	Robert C. Merton (structural model); J.P. Morgan / Gupton et al. (CreditMetrics)
種類	Continuous-time stochastic volatility model	Structural and portfolio credit risk model
原典	Heston, S. L. (1993). A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options. Review of Financial Studies, 6(2), 327-343.	Merton, R. C. (1974). On the Pricing of Corporate Debt: The Risk Structure of Interest Rates. The Journal of Finance, 29(2), 449-470.
別名	Heston model, SV model, continuous-time stochastic volatility, Stokastik Volatilite Modeli (Heston, SV)	Merton model, KMV model, CreditMetrics, structural credit risk model
関連	5	5
概要	The stochastic volatility model is a continuous-time option-pricing and risk framework in which volatility follows its own random process rather than staying constant. The Heston model, introduced by Steven Heston in 1993, gives the variance a mean-reverting square-root (CIR) dynamic and yields a closed-form option price; it is the continuous-time counterpart of GARCH.	Credit risk models estimate the probability that a borrower defaults and the resulting distribution of credit losses. The structural approach was introduced by Robert C. Merton in 1974, treating a firm's equity as a call option on its assets, and was later extended into the KMV distance-to-default framework and the CreditMetrics rating-transition portfolio model published by J.P. Morgan in 1997.