5.2 Merton’s Model II
Course week(s)
Week 5
Course subject(s)
Default Probabilities II
In this class, we continue our discussion about Merton’s model. In particular, we see how we can actually compute the probability of default (PD) of a company, using R. We will also try to give a first answer to the following question: is Merton’s model a realistic model of default?
Merton's Model P2
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Here you can find the slides of this lecture. And here the script.
Here you can find the code that we have used to solve the exercise in class.
As you can see, if you are an expert programmer, this code is not really efficient. I have tried to keep it simple, in order to make it clearer for non-experts.
Introduction to Credit Risk Management by TU Delft OpenCourseWare is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
Based on a work at https://ocw.tudelft.nl/courses/introduction-credit-risk-management/.