Compute distance-to-default DD = (V_A - D) / (V_A * sigma_A), measuring how many standard deviations asset value is from default point. Uses iterative Merton model inversion.
Compute distance-to-default DD = (V_A - D) / (V_A * sigma_A), measuring how many standard deviations asset value is from default point. Uses iterative Merton model inversion
Each component has a specific meaning:
Note: Interpret the mkmv distance to default result against the thresholds and context described above.
Enter the default point for the scenario you are assessing. Compute distance-to-default DD = (V_A - D) / (V_A * sigma_A), measuring how many standard deviations asset value is from default point. Uses iterative Merton model inversion. Use the mkmv distance to default result to inform your calculation.