Compară metode
Examinează metodele selectate una lângă alta; rândurile care diferă sunt evidențiate.
| Modelul de Defalcare Merton× | Ajustare de Evaluare a Creditului× | |
|---|---|---|
| Domeniu | Finanțe cantitative | Finanțe cantitative |
| Familie | Regression model | Regression model |
| Anul apariției≠ | 1974 | 2000s |
| Autorul original≠ | Robert C. Merton | Jon Gregory |
| Tip≠ | Credit Risk Model | Valuation Framework |
| Sursa seminală≠ | 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 ↗ |
| Denumiri alternative | Structural Credit Model, Asset-to-Equity Model | CVA, Counterparty Risk Adjustment |
| Înrudite | 3 | 3 |
| Rezumat≠ | 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. | Credit Valuation Adjustment (CVA) is the market price of counterparty credit risk embedded in over-the-counter (OTC) derivatives. CVA measures the loss from counterparty default, accounting for both the probability of default and the exposure at that time. It has become a key component of derivative valuation and risk management since the 2008 financial crisis. |
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