Bank of England research backs Merton model
Analysts in the Bank of England's domestic finance division believe a Merton model for modelling credit risk is "a useful tool for assessing the riskiness of individual companies".
A key finding of the study was that: "The mean value of the average one-year PD [probability of default] for our entire sample is 47.3% for those companies that went into liquidation and 5.4% for those that did not."
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