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 ...

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 ...

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 ...

Structural models of default are widely used to analyze corporate bond spreads, but have generally been unable to explain why risk premiums are as high as they are. This credit spread puzzle can be ...