/merton-dtd

A Python library for computing a company's distance to default using the Merton model

Primary LanguagePythonApache License 2.0Apache-2.0

merton-dtd: Merton Distance to Default Credit Risk Model

A Python library for computing a company's distance to default using the Merton model. The core inputs are a timeseries of the firm's debt and equity value.

Examples

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