Main Profile

At A Glance

Using credit rating migration and Merton to solve for equity

There are two big steps: 1. The firm expresses a risk attitude (orientation) and uses the credit rating migration/transition matrix to derive an implied target probability of default (PD); 2. The Merton model is used to infer a target equity cushion given the target PD
Length: 09:16

Contact

Questions about Using credit rating migration and Merton to solve for equity

Want more info about Using credit rating migration and Merton to solve for equity? Get free advice from education experts and Noodle community members.

  • Answer

Ask a New Question