Merton Model for Credit Risk Assessment

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)

[@MJtheFellowActuary]

Check description for a Link to a udemy course with more Credit Risk videos. Its almost 4 hours long.

[@Pier_Py]

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!

[@NokuphilaCo]

Thanks MJ, I hope we pass this exam

[@NokuphilaCo]

im basically banking on these videos for SP9. I'm a visual person and the videos help

[@psdfm]

Just found your video. Very understandable and useful. Appreciate.

[@ilCUINDICENNEkebabbo]

Super clear thanks !

[@Regirousso]

Thank you so much man!! We appreciate you!!..🙏🙏

[@MJtheFellowActuary]

Thank you!! Appreciate your support!!

[@blackswanjh]

Excellent. Thks!

[@qianyi8642]

thank you so much! may i ask where does the formula come from at 12:20?

[@habddz]

Hello. can i use a print screen picture of 5:00 and 12:00 to explain Merton model to my colleague?

[@mooremax]

Can this be used to price a term structure of credit risk across a single seniority?

[@zy9662]

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)

[@alessandrocaredda3699]

How the Merton model can be used by private equity fund managers to estimate the default/credit risk of the target companies?

[@harshagarwal4866]

Nice.

[@nokuphilangcamu9147]

12.25, The 'i' in front of Debt(0) disappeared. Is this correct ?

[@MJtheFellowActuary]

Yes, I'm skipping a bit of the intermediate maths steps to keep the video as short as possible.

[@gregoirebonargent5360]

@@MJtheFellowActuary Can you explain in detail your calculation to get the credit spread please ?

[@Ishmaelstene]

First comment

[@MJtheFellowActuary]

Nice!

[@clerencemachethe1000]

Stene🙋‍♂️

[@BigreeMom]

did anyone tell you that you are best ?

[@hubertbilski1343]

Where is the Long Term Capital now 😂😂😂 🤡🤡🤡