Important announcement

Dear visitor,

Please note that this OpenCourseWare platform will be replaced at the end of 2026 by a new platform (under the same url ocw.tudelft.nl).

Courses and their contents that are currently available the platform will partly be migrated. URL’s for this content will change and content might be unavailable for some time. In addition, some courses will not be available anymore.

If you are linking to specific courses on this platform (for instance for your students), please take timely measures to avoid problems with access. Possible actions are:

  • Download the materials to your local platform (laptop, server)
  • For educators only (including TU Delft lecturers): Contact us at ocw@tudelft.nl and inform us what course you are using in what context (institute, program, period of use, number of students). We will research (in collaboration with the authors of the course) and decide if we will migrate the course, and if yes, can supply you with a new url.

Thank you.

Home Courses Introduction to Credit Risk Management Course materials Lectures 5.1 Merton’s Model I

5.1 Merton’s Model I

Course week(s) Week 5
Course subject(s) Default Probabilities II

In this lesson, we introduce Merton’s model, a fundamental model for credit risk modeling.

As we will see, Merton’s model is one of the reference models in the field of credit risk management.

Merton’s model is a structural model of default, in which default happens when the market value of the assets of a company falls below a pre-determined threshold defined by liabilities.

The idea behind the model – you will see – is rather simple. The mathematical part, unfortunately, is not trivial.
We will try to focus our attention on the first part!

Merton's Model P1

Video
Subtitles
Other

Sorry but there don't seem to be any downloads..

Subtitles (captions) in other languages than provided can be viewed at YouTube. Select your language in the CC-button of YouTube.

Here you can find the slides of this lecture. And here the script.

Creative Commons License
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/.
Back to top
[sg_popup id=6]