Show that, under Mertons model in Section 16.8, the credit spread on a T -year zero-coupon bond
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Show that, under Merton’s model in Section 16.8, the credit spread on a T
-year zero-coupon bond is −ln[N(d2) + N(−d1)/L]/T where L = De−rT/V0.
Credit Risk: Estimating Default Probabilities 373 AppendixLO1
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