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I need help calculating formula using Merton 1974. Use the Merton (1974) model to solve the probability of default for an issuer that has: Current
I need help calculating formula using Merton 1974.
- Use the Merton (1974) model to solve the probability of default for an issuer that has: Current assets value = $20M
- Outstanding debt at maturity = $22M
- There are 4 more months until debt maturity (i.e. 1/3 of a year)
- Risk free interest rate = 5%
- Assets volatility (standard deviation) = 50% per annum
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Financial Institutions Management A Risk Management Approach
Authors: Anthony Saunders, Marcia Millon Cornett
9th edition
1259717771, 1259717772, 9781260048186, 1260048187, 978-1259717772
