Credit risk models can be divided into two fundamental classes of models, structural or asset-value models, on the one hand, and reduced-form or default-rate models, on the other hand.
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© 2009 Springer-Verlag Berlin Heidelberg
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(2009). The Merton Model. In: Concentration Risk in Credit Portfolios. EAA Lecture Notes. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-70870-4_3
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DOI: https://doi.org/10.1007/978-3-540-70870-4_3
Publisher Name: Springer, Berlin, Heidelberg
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