Número:
743
Publicado:
Palabras clave:
Merton model, Structural model, Credit risk, Probability of default

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Nicol Valeria Rodríguez-Rodríguez, Hernán Dario Perdomo-Sánchez
Luis Fernando Melo-Velandia, Daniel Parra-Amado, Juan Pablo Bermúdez-Cespedes
Informational constraints may turn the Merton Model for corporate credit risk impractical. Applying this framework to the Colombian financial sector is limited to four stock-market-listed firms; more than a hundred banking and non-banking firms are not li