Merton model (distance to default)
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Treats equity as a call option on firm assets V; distance to default measures how far assets are from the default point D.
LaTeX: DD = \frac{\ln(V/D) + (\mu - \sigma_V^2/2)\,T}{\sigma_V\sqrt{T}}
Key findings
- Merton model (distance to default) was mentioned in 4 papers in the last 30 days (2026-09-27 to 2026-10-26), ranking #82 of the 104 equations and models mentioned.
- By journal category: Economics (2) and Finance (2).
- Most of them appeared in Eurasian economic review : (1), Energy Economics (1) and Finance research letters (1).
- Often mentioned together with Ordinary least squares (OLS) (3), Instrumental variables (two-stage least squares) (1) and Black-Scholes formula (1).
- Datasets named in the same papers: VIX (1), Refinitiv Datastream (1) and EU ETS transaction log (1).
| Date | Title | Journal | Authors | Affiliations |
|---|---|---|---|---|
| 2026-10-13 | Climate disclosure and risk premium in the European bond market | Eurasian economic review : | Matteo Mazzarano, Gianni Guastella, Stefano Pareglio et al. | Università Cattolica del Sacro Cuore; Athens University of Economics and Business; University of Bologna; … |
| 2026-10-11 | Capacity imbalance and default risk in new energy firms | Energy Economics | Boqiang Lin, Jiangnan Li | Xiamen University; City University of Macau |
| 2026-10-04 | Macroprudential policy and financial risk: The moderating role of financial innovation | Finance research letters | Jinghao Yang, Jun Wen, Xinxin Zhao et al. | Xi'an Jiaotong University; China University of Geosciences; China University of Geosciences (Beijing); … |
| 2026-09-29 | Skilled labor mobility and bank default | Journal of Financial Stability | Yuna Heo, Akif Midilli, Steven R. G. Ongena | University of Basel; Swiss Finance Institute; University of Zurich; … |