merton.calibration

Calibration methods for the Merton structural credit-risk model.

Each calibrator infers the unobserved asset value A and asset volatility σ_A from observable equity quantities (price level, equity volatility) and the debt structure.

Available methods:

  • vassalou_xing() — iterative MLE (Vassalou & Xing, 2004). Default.

  • duan_mle() — transformed-data MLE with survivorship correction (Duan, 1994; Duan-Gauthier-Simonato-Zaanoun, 2004).

  • kmv_iterative() — Crosbie-Bohn / Moody’s KMV variant.

  • jmr_iterative() — Jones, Mason & Rosenfeld (1984) two-equation system.

  • naive() — Bharath & Shumway (2008) closed-form approximation. Fast.

Submodules