Сравнение методов
Просматривайте выбранные методы рядом; строки с различиями подсвечены.
| Модель дефолта Мертона× | Оценка в условиях нейтральности к риску× | |
|---|---|---|
| Область | Количественные финансы | Количественные финансы |
| Семейство | Regression model | Regression model |
| Год появления≠ | 1974 | 1979 |
| Автор метода≠ | Robert C. Merton | John Harrison and David Kreps |
| Тип≠ | Credit Risk Model | Fundamental Principle |
| Основополагающий источник≠ | 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 ↗ |
| Другие названия | Structural Credit Model, Asset-to-Equity Model | Risk-Neutral Measure, Q-Measure |
| Связанные≠ | 3 | 4 |
| Сводка≠ | 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. |
| ScholarGateНабор данных ↗ |
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