Default Probability of Merton's Structural Form Model

Posted by Fred

Default Probability

Input:
Value of Firm Millions
Long Term Debt Millions
Short Term Debt Millions
Time to maturity Years
Expected Return of Firm %
Volatility (annulized) %
Output:
Default Probability%

The calculation is based on Merton's structural form model. The default ponit= (0.5 * long term debt) + short term debt.

Tagged: Default Probability Calculator, Structural Form Model

 •  Dec 7, 2013  • 

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