In an article published today in the Bank of England's June Financial Stability Review, Merxe Tudela and Garry Young describe how they tested the Merton model against a database of UK company failures ...

Please Note: Blog posts are not selected, edited or screened by Seeking Alpha editors. R. Merton published a seminal paper [1] that laid the foundation for the development of structural credit risk ...

It has been argued that one of the factors that triggered the downfall of Long-Term Capital Management (LTCM) was its failure to properly incorporate fat tails of asset price distributions into ...