The Merton model is a mathematical formula that stock analysts and commercial loan officers, among others, can use to judge a corporation’s risk of credit default.

Credit loss database reveals holes in Basel’s IRB formula; QIS 3.0 ‘bonanza’: ... We introduce a Stochastic Recovery Merton model where we include correlation between probability of default and loss ...

This paper addresses the building of obligor level hazard rate corporate probability-of-default (“ PD ”) models for stress testing, departing from the predominant practice in wholesale credit modeling ...

Structural models, often called "Merton" models, after the Nobel Laureate academic Robert C. Merton, are single-period models that derive their probability of default from the random variations in ...