Порівняння методів
Переглядайте обрані методи поруч; рядки з відмінностями підсвічено.
| Модель дефолту Мертона× | Оцінювання за нейтрального до ризику ставлення× | |
|---|---|---|
| Галузь | Кількісні фінанси | Кількісні фінанси |
| Родина | Regression model | Regression model |
| Рік появи≠ | 1974 | 1979 |
| Автор методу≠ | Robert C. Merton | John Harrison and David Kreps |
| Тип≠ | Credit Risk Model | Fundamental Principle |
| Основоположне джерело≠ | 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 ↗ |
| Інші назви | Structural Credit Model, Asset-to-Equity Model | Risk-Neutral Measure, Q-Measure |
| Пов'язані≠ | 3 | 4 |
| Підсумок≠ | 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. |
| ScholarGateНабір даних ↗ |
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