Сравнение методов
Просматривайте выбранные методы рядом; строки с различиями подсвечены.
| Оценка корректировки стоимости обязательств (Debit Valuation Adjustment)× | Модель дефолта Мертона× | |
|---|---|---|
| Область | Количественные финансы | Количественные финансы |
| Семейство | Regression model | Regression model |
| Год появления≠ | 2000s | 1974 |
| Автор метода≠ | Jon Gregory, Christoph Burgard | Robert C. Merton |
| Тип≠ | Valuation Framework | Credit Risk Model |
| Основополагающий источник≠ | 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 ↗ |
| Другие названия | Own Credit Adjustment, OCA | Structural Credit Model, Asset-to-Equity Model |
| Связанные | 3 | 3 |
| Сводка≠ | 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. |
| ScholarGateНабор данных ↗ |
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