Merton Model for Credit Risk Assessment
Вставка
- Опубліковано 8 кві 2020
- To see more videos on Credit Risk:
www.udemy.com/course/theory-o...
Part 1 is an introduction to Risk and looks at the mathematical properties of risk measures.
Part 2 is about being aware of Credit Risk
Part 3 is about identifying Credit Risk and its sources of uncertainty.
Part 4 is about the models used to assess Credit Risk.
Part 5 is about the Merton Model with an introduction to Option Pricing.
Part 6 is about Migration and Portfolio Models
Part 7 is about managing Credit Risk and goes beyond just using collateral.
Part 8 is an Appendix for the Jarrow-Turnbull Model (Stochastic & Markov Processes)
Check description for a Link to a udemy course with more Credit Risk videos. Its almost 4 hours long.
I am writing my final thesis on credit risk and merton's model, i'm studying Black and Scholes first, but thanks to this video it all clearer!
Thanks MJ, I hope we pass this exam
im basically banking on these videos for SP9. I'm a visual person and the videos help
Just found your video. Very understandable and useful. Appreciate.
Super clear thanks !
Thank you so much man!! We appreciate you!!..🙏🙏
Thank you!! Appreciate your support!!
thank you so much! may i ask where does the formula come from at 12:20?
Excellent. Thks!
Hello. can i use a print screen picture of 5:00 and 12:00 to explain Merton model to my colleague?
Can this be used to price a term structure of credit risk across a single seniority?
How the Merton model can be used by private equity fund managers to estimate the default/credit risk of the target companies?
Nice.
What would be the formula for Value(T). It is missing from the first slide and you used it to define debt(T) and Equity(T)
12.25, The 'i' in front of Debt(0) disappeared. Is this correct ?
Yes, I'm skipping a bit of the intermediate maths steps to keep the video as short as possible.
@@MJtheFellowActuary Can you explain in detail your calculation to get the credit spread please ?
First comment
Nice!
Stene🙋♂️
did anyone tell you that you are best ?
Where is the Long Term Capital now 😂😂😂 🤡🤡🤡