信贷风险MATLAB,默顿结构信用风险模型（matrixwise求解器）

Merton Structural Credit Model (Matrixwise Solver)

Calculates the Value of Firm Assets, Volatility of Firm Assets,

Debt-Value, Credit-Spread, Default Probability and Recovery Rate as per

Merton's Structural Credit Model. The value and volatility of firm assets

are found by Bivariate Newton Root-Finding Method of the Merton

Simultaneous Equations. The Newton Method is carried out matrixwise

(i.e. fully vectorised) in a 3d Jacobian so that bivariate ranges of

(E_t,sig_E,K,T) values may simultaneously calculated. (See Examples)

Function requires mtimesx.m available on the Matlab File Exchange at

http://www.mathworks.com/matlabcentral/fileexchange/25977-mtimesx-fast-matrix-multiply-with-multi-dimensional-support

Outputs

A_t: Value of Firm's Assets [A_t = Call(K,sig_A,A_t,t,T,r)]

sig_A: Volatility of Firm's Assets

D_t: Value of Firm Debt [D_t = pv(K) - Put(K,sig_A,A_t,t,T,r)]

s: Credit Spread

p: Default Probability

R: Expected Recovery

d: Black-Scholes Parameter Anonymous Function

Inputs

E_t: Value of Equity

sig_E: Equity Volatility

K: Debt Barrier

t: Estimation Time (Years)

T: Maturity Time (Years)

r: Risk-free-Rate

Example 1

T = 5;

t = 0;

K = 500;

sig_E = 0.5;

r = 0.05;

E_t = 1200;

[A_t,sig_A,D_t,s,p,R,d1] = calcMertonModel(E_t,sig_E,K,t,T,r);

Example 2: Variates (sig_E,E_t)

t = 0; r = 0.05;

sig_E = (0.05:0.05:0.8)'; E_t = (100:100:2000)';

[sig_E,E_t] = meshgrid(sig_E,E_t);

K = repmat(600,size(sig_E)); T = repmat(5,size(sig_E));

[A_t,sig_A,D_t,s,p,R,d1] = calcMertonModel(E_t,sig_E,K,t,T,r);

Example 3: Variates (K,T)

t = 0; r = 0.05;

K = (100:100:4000)'; T = (0.1:0.1:10)';

[K,T] = meshgrid(K,T);

sig_E = repmat(0.4,size(K)); E_t = repmat(1300,size(K));

[A_t,sig_A,D_t,s,p,R,d1] = calcMertonModel(E_t,sig_E,K,t,T,r);