Merton Structural Credit Risk Model: Single-point vs Time-series Calibration

Data Summary

Start date: 2015-01-02 00:00:00
End date: 2016-12-30 00:00:00
Number of observations: 504

Snapshot Results

Snapshot date: 2016-12-30 00:00:00
DD_snapshot: 2.6372738270016627
PD_snapshot: 0.004178766859284798

Time-series Summary

DD mean: 3.7152824678113334, median: 3.732107397672198, min: 2.6353949854773178, max: 4.609974370764504

PD mean: 0.0006831935985158368, median: 9.494249316226307e-05, min: 2.0135930746510644e-06, max: 0.004201971294806125

Snapshot Position within History

DD snapshot percentile: 0.7936507936507936

PD snapshot percentile: 99.60317460317461

Stress Episodes

Top 5 stress days by PD (if available) are stored in the Excel file under sheet "stress_episodes".

Sensitivity Highlights

PD vs leverage and PD vs volatility curves are available as HTML charts and in the Excel file under sheets "sens_PD_vs_leverage" and "sens_PD_vs_vol".

Validation

Anomalies: Large jumps in DD detected relative to median diff., Large jumps in PD detected relative to median diff.