Krahasoni metodat
Shqyrtoni metodat e zgjedhura krah për krah; rreshtat që ndryshojnë janë të theksuar.
| Vlera e Rregulluar e Debisë× | Modeli i Defeistit të Mertonit× | |
|---|---|---|
| Fusha | Financa kuantitative | Financa kuantitative |
| Familja | Regression model | Regression model |
| Viti i origjinës≠ | 2000s | 1974 |
| Krijuesi≠ | Jon Gregory, Christoph Burgard | Robert C. Merton |
| Lloji≠ | Valuation Framework | Credit Risk Model |
| Burimi themelues≠ | 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 ↗ |
| Emërtime të tjera | Own Credit Adjustment, OCA | Structural Credit Model, Asset-to-Equity Model |
| Të lidhura | 3 | 3 |
| Përmbledhja≠ | 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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