In this work, we model the empirically observed recovery risk premium by adding an additional correlated risk driver to Merton’s model for pricing corporate bonds. This risk driver represents the ...
In an article published today in the Bank of England's June Financial Stability Review, Merxe Tudela and Garry Young describe how they tested the Merton model against a database of UK company failures ...
THIS author had a chance, in the late 1990s, to enroll in a Finance class by Robert Merton at Harvard. Merton is well known for his continuous-time finance contribution that led to the ...
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