Mengukur Risiko Kredit dengan Model Merton
نویسندگان
چکیده
Abstract: Nilai perusahaan sama dengan penjumlahan nilai saham dan utang (bond atau kewajiban) perusahaan. berfluktuasi. Bila lebih kecil dibanding bond perusahaan, maka default. KMV menentukan bahwa titik default jangka pendek setengah dari panjangnya. Semakin tinggi semakin memetakan jarak ke frekuensi (expected frequency). Keywords: risk/credit sensitive bond,leverage, probaility of default, point, distane to mapping, expeced frequencies, credit loss, expected put, derivative.
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ژورنال
عنوان ژورنال: Jurnal Manajemen Risiko
سال: 2022
ISSN: ['2746-3982']
DOI: https://doi.org/10.33541/mr.v3i1.4546