Excel function reference¶

Every formula lives in the MERTON namespace. After sideloading the add-in (merton excel install) and starting the server (merton excel server start), Excel autocomplete will suggest each formula when you type =MERTON..

Single-firm¶

Formula	Returns
`=MERTON.DD(equity, σE, debt, rf, T)`	Distance to default
`=MERTON.PD(equity, σE, debt, rf, T)`	Probability of default at horizon `T`
`=MERTON.SPREAD(equity, σE, debt, rf, T, LGD)`	Implied credit spread (basis points)
`=MERTON.ASSET_VALUE(equity, σE, debt, rf, T)`	Inverted firm asset value `A`
`=MERTON.ASSET_VOL(equity, σE, debt, rf, T)`	Inverted asset volatility `σ_A`
`=MERTON.GREEKS(equity, σE, debt, rf, T)`	1×6 array: Δ, Γ, Vega, Θ, ρ, ∂PD/∂L
`=MERTON.PD_TERM(equity, σE, debt, rf, {horizons…})`	PD term structure (2-column dynamic array)
`=MERTON.BLACK_COX(equity, σE, debt, rf, T, γ)`	Black-Cox first-passage PD

Portfolio¶

Formula	Returns
`=MERTON.PORTFOLIO_VAR(PD, LGD, ρ?, α?, M?)`	Basel-IRB Vasicek VaR (Loss / Exposure)

When ρ is omitted (or blank), the formula uses the Basel-prescribed asset correlation derived from the PD.

Backtest¶

Formula	Returns
`=MERTON.BACKTEST(pd_range, defaults_range, "AUC")`	AUC of the model
`=MERTON.BACKTEST(pd_range, defaults_range, "Brier")`	Brier score
`=MERTON.BACKTEST(pd_range, defaults_range, "KS")`	Kolmogorov-Smirnov statistic
`=MERTON.BACKTEST(pd_range, defaults_range, "AccuracyRatio")`	Accuracy ratio (Gini coefficient)

Argument conventions¶

equity, debt — currency units (whatever’s consistent across your sheet).
σE, σ_A, LGD, α, ρ — decimals (use 0.30, not 30%).
rf — annualised continuously-compounded decimal.
T — years (e.g. 0.5 for six months, 5 for five years).
Array arguments — Excel ranges (e.g. A2:A11) or inline arrays (e.g. {0.25, 0.5, 1, 3, 5}).

Hover any function name in Excel’s formula wizard for inline parameter descriptions.