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We studied a Bayesian estimation method using the Merton model in Chap. 11. Under normal circumstances, the Merton model uses the correlation of asset price movements (asset correlation) to estimate the PD and the correlation. A Monte Carlo simulation is an appropriate tool to estimate the parameters, except under the limit of large homogeneous portfolios (Schönbucher 2003).

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Merton Model and Its Poisson Process

  • 章节

  • 发表日期：

    2025年

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  • Masato Hisakado

摘要

We studied a Bayesian estimation method using the Merton model in Chap. 11. Under normal circumstances, the Merton model uses the correlation of asset price movements (asset correlation) to estimate the PD and the correlation. A Monte Carlo simulation is an appropriate tool to estimate the parameters, except under the limit of large homogeneous portfolios (Schönbucher 2003).