Extending The Merton Model: A Hybrid Approach To Assessing Credit Quality

摘要

Credit risk refers to the risk due to unexpected changes in the credit quality of a counter party or issuer and its quantification. Credit risk measurement depends on the likelihood of a default firm to meet its required or contractual obligation and on what will be lost if default occurs.rnModels of credit risk measurement focuses on the estimation of the default probability of firms. The credit risk models are classified on two broad categories on the basis of the analysis they adopt - (a) fundamental analysis and (b) Contingent Claim Analysis (CCA). The present research work tries to combine fundamental analysis and contingent analysis into a hybrid model of credit risk measurement.