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Special Report on

Extending the Merton Model

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This article examines the impact of pension deficits on default risk as measured by the premia on corporate credit default swaps (CDS). We find highly significant evidence that unfunded pension liabilities raise one- and five-year CDS premia. However, this relation is not homogeneous across countries, with the U.S. CDS market leading its European counterparts in the pricing of defined-benefit pension risk. Author Information Ronan C Gallagher, Ronan C Gallagher, is a research associate at the School of Management, Queen’s University in Belfast, Northern Ireland, U.K. Donal G McKillop Donal G ...
was the first to publish a paper expanding the mathematical understanding of the options pricing model and coined the term Black–Scholes options pricing model. Merton and Scholes received the 1997 Nobel Prize in Economics ( The Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel ) for their work. Though ineligible for the prize because of his death in 1995, Black was mentioned as a contributor by the Swedish academy.
Robert Merton/1997 Nobel Prize in Economic Sciences/노벨경제학상 ...
John and Natty McArthur University Professor, Harvard Business School, Harvard University Nobel Prize in Economic Sciences, 1997  Robert C. Merton earned a bachelor’s degree in engineering mathematics from Columbia University, a master’s degree in engineering mathematics from the California Institute of Technology, and a doctorate in economics from the Massachusetts Institute of Technology. He then served on the finance faculty of the MIT Sloan School of Management until 1988, when he moved to Harvard Business School. Merton is a fellow of the American Association of Arts and Sciences, and a member of the National ... market research, surveys and trends
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Economic sociology these days seems preoccupied with “performativity.”  That attention is well-deserved because the notion that the use of a model can improve its predictive fit is a powerful idea.  (For a graphic representation of the concept, see the excerpt by Brooke Harrington.)  But perhaps it’s time for a corrective look. Graduate seminars are a useful barometer of when a concept starts to run past its purposes.  Some decades ago it was “socially constructed,” next “embeddedness” took its turn, and then for a brief while “boundary object.”  (I can’t begin to list all the things that students told me were boundary ... market research, surveys and trends


The Moody's KMV EDF RiskCalc v3.1 Model
Extending and Filling In the Default Term Structure. .... profits of more than $10 million higher on average compared to a competitor that uses a model such as Z- .... percent of the data submitted by contributors because it contained notable ..... Merton model (cf., Merton, 1974). Recent advances in this line of ... industry trends, business articles and survey research
Long Term Capital Management
Long Term Capital Management (LTCM) was a hedge fund located in Greenwich, Connecticut. The founders included two Nobel Prize-winning economists, Myron Scholes and Robert C. Merton. Scholes and Merton, among other things, developed along with the late Fischer Black, the Black-Scholes formula for option pricing. LTCM also included as guiding spirit John Meriwether, a former vice chairman of Salomon Brothers and famous bond trader. David Mullins, a former vice chairman of the Board of Governors of the Federal Reserve System was also part of the LTCM team. Also several important arbitrage analysts from Salomon ... industry trends, business articles and survey research
Lembit Opik: ” I never expected to lose my seat”
The morning after the night before should have been an afterglow of champagne-fuelled celebration. Lembit Opik, one of the nation’s most high-profile MPs of the last decade, was planning to extend his 13-year run as the MP for Montgomeryshire. Instead, he was holed up in a London studio with Paul Merton and Ian Hislop, regarding a post-election broadcast of Have I Got News For You. Lembit had lost his Montgomeryshire seat to Conservative rival Glyn Davies, who achieved a dramatic 13.2 per cent swing to wipe out the Lib Dem’s 7,000-strong majority. “Frankly, when I lost, it was pretty devastating,” says ... market trends, news research and surveys resources


An Application on Merton Model in the Non-efficient Market
Duffie, D., Singleton, K.: Extending the Merton Model: A hybrid Approach to assessing credit quality. J. Mathematical and Computer Modelling 46, ... technology research, surveys study and trend statistics
A Risk-Factor Model Foundation for Ratings-Based Bank Capital Rules
CreditMetrics, which is based on a simplified Merton model of default, ... (2001 ) extend the. CreditRisk. + model to include a systematic factor for ... technology research, surveys study and trend statistics
credit yield spreads as a result. We start with the Classical Merton's Model and immediately extend it to a mathematical model where we also have a default ...
Google Answers: Finance for researcher elmarto-ga
If elmarto-ga is not available question is open to anyone. This is the long case study questions. TELETECH CORPORATION, 1996 Raiders Dials Teletech Wake-up Call Needed Says Investor New York (AP)---The reclusive billionaire Victor Yossarian has acquired a 10 percent stake in Teletech Corporation and has demanded two seats on the firm’s board of directors. The purchase was revealed yesterday in a filing with the Securities and Exchange Commission, and separately in a letter to Teletech’s CEO, Maxwell Harper. “The firm is misusing its resources and not earning an adequate ...
Do you have stubble on your chin when you wake up in the moring?
WHEN I married my husband, I'd never seen him without his beard. So, after several years together, when he finally decided to reveal his naked face, it was quite a shock. Not just because of the change, but because he suddenly bore a striking and completely unexpected resemblance to Paul Merton. This was especially strange, because when he has a beard, Paul Merton looks nothing like my husband. Anyway, without any disrespect to the lovely Mr Merton, I asked for the beard back, and Mr Me has been hairy-faced ever since. I thought I was unADVERTISEMENT usual enough in tolerating a man with a beard – albeit a short, kempt, ...