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Merton Model for Credit Risk Assessment 

MJ the Fellow Actuary
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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)

Опубликовано:

 

8 апр 2020

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Комментарии : 23   
@MJtheFellowActuary
@MJtheFellowActuary 4 года назад
Check description for a Link to a udemy course with more Credit Risk videos. Its almost 4 hours long.
@Pier_Py
@Pier_Py 4 года назад
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
@NokuphilaCo 4 года назад
Thanks MJ, I hope we pass this exam
@NokuphilaCo
@NokuphilaCo 4 года назад
im basically banking on these videos for SP9. I'm a visual person and the videos help
@psdfm
@psdfm Год назад
Just found your video. Very understandable and useful. Appreciate.
@ilCUINDICENNEkebabbo
@ilCUINDICENNEkebabbo 2 года назад
Super clear thanks !
@qianyi8642
@qianyi8642 2 года назад
thank you so much! may i ask where does the formula come from at 12:20?
@Regirousso
@Regirousso 4 года назад
Thank you so much man!! We appreciate you!!..🙏🙏
@MJtheFellowActuary
@MJtheFellowActuary 4 года назад
Thank you!! Appreciate your support!!
@habddz
@habddz 3 года назад
Hello. can i use a print screen picture of 5:00 and 12:00 to explain Merton model to my colleague?
@zy9662
@zy9662 3 года назад
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
@alessandrocaredda3699 2 года назад
How the Merton model can be used by private equity fund managers to estimate the default/credit risk of the target companies?
@mooremax
@mooremax Год назад
Can this be used to price a term structure of credit risk across a single seniority?
@blackswanjh
@blackswanjh 10 месяцев назад
Excellent. Thks!
@harshagarwal4866
@harshagarwal4866 4 года назад
Nice.
@nokuphilangcamu9147
@nokuphilangcamu9147 4 года назад
12.25, The 'i' in front of Debt(0) disappeared. Is this correct ?
@MJtheFellowActuary
@MJtheFellowActuary 4 года назад
Yes, I'm skipping a bit of the intermediate maths steps to keep the video as short as possible.
@gregoirebonargent5360
@gregoirebonargent5360 2 года назад
@@MJtheFellowActuary Can you explain in detail your calculation to get the credit spread please ?
@BigreeMom
@BigreeMom 2 года назад
did anyone tell you that you are best ?
@Ishmaelstene
@Ishmaelstene 4 года назад
First comment
@MJtheFellowActuary
@MJtheFellowActuary 4 года назад
Nice!
@clerencemachethe1000
@clerencemachethe1000 4 года назад
Stene🙋‍♂️
@hubertbilski1343
@hubertbilski1343 3 месяца назад
Where is the Long Term Capital now 😂😂😂 🤡🤡🤡
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