PROCEDURE FOR IMPLYING RISK-NEUTRAL-DEFAULT-PROBABILITY AND RECOVERY-RATE USING THE MERTON MODEL

Financial solutions home page

1. Log into your account or if you are a new user, register your account and enable two factor authentication.
2. Click on the [Merton model] button, this will take you to the Merton model iteration parameters page.

Merton model iteration parameters page

1. Enter company name.
2. Enter currency of valuation.
3. Enter current value of company equity.
4. Enter the nominal value of debt.
5. Enter the debt repayment time in years.
6. Enter the instantaneous annualised volatility of equity.
7. Enter the continuously compounded risk-free zero rate for debt repayment period
8. Click the submit button and this will take you to the output display page.

Output display page

1. You can view pricing model output together with input parameters you entered.
2. At the bottom of the page you can click on the button to create database record for the current model output. This will take you to the create database record page where you should click on the create button to create the database record.
3. After clicking on the create button to create the database record, you will be taken to the database records view page, where you can scroll vertically or horizontally to view database records including the one you just created.
4. You can filter database records according to the currency of valuation using the filter box. You can click on the details link on the extreme right of a particular database record, this will take you to the particular database record details page.