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Merton model valuation
Hi, I have a practice question (non-BT) related to the use of Merton's debt valuation model. An investor has a large position of bonds issued by XYZ Limited. He has hedged these bonds with equity using Merton’s debt valuation model. Suppose the value takes an unprecedented tumble, but the...- evelyn.peng
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- merton-model valuation
- Replies: 0
- Forum: P2.T6. Credit Risk Measurement & Management
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VaR spreadsheet
Hi Nicole, I'm going over David's video for Allen Chapter 3 Putting VaR to work. I couldn't find a thread that talks about this in particular so I'm hoping you can help me out. On Slide 45 of 52 David has this Excel spreadsheet that I wish to follow along with formulas. I can't find it as...- evelyn.peng
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- Replies: 1
- Forum: P1.T4. Valuation & Risk Models