Merton Model and Its Poisson Process

Masato Hisakado
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Masato Hisakado: Nomura Hodings, Inc.

Chapter Chapter 14 in Urn Models and Their Applications in Finance, 2025, pp 231-240 from Springer

Abstract: Abstract We studied a Bayesian estimation method using the Merton model in Chap. 11. Under normal circumstances, the Merton model uses the correlation of asset price movements (asset correlation) to estimate the PD and the correlation. A Monte Carlo simulation is an appropriate tool to estimate the parameters, except under the limit of large homogeneous portfolios (Schönbucher 2003).

Date: 2025
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DOI: 10.1007/978-981-96-3825-3_14

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