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GARP.FRM.PQ.P2 question in derivation process of merton model credit spread
above is an interim procedure from rearranging following equation: Dt * e^yτ = D Dt = current value of debt at time "t" y = yield to maturity of debt τ = remaining maturity of debt D = debt's face value rearranging this equation leads to the first equation in the above pic, and taking...- nwalker
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- credit risk credit spread merton model
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- Forum: P2.T6. Credit Risk (25%)