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Tag: Merton model

HomeAll PostsTag: Merton model

STEELLDYThrough Steelldy consulting company, I assist companies, fintechs, and institutions in two key areas: ◙ Economic and financial statistical modeling via our DaaS & SaaS software (macroeconomic index platform). Analysis of the transition to a multipolar world: stablecoins, gold, copper, precious metals, industrial metals, oil, dollars, euros, yuan, yen, rubles, CBDC, BISIH, mBridge, Unified Ledger, BRICS, and global regulations. ◙ Web3 Law & Taxation Legal and Tax structuring of blockchain-based projects, RWA, tokenization, cryptocurrency (stablecoins, CBDC), decentralized autonomous organizations (DAO), MiCA compliance, ISO 20022, AI, MANBRIC/biotech technologies, robotics, smart cities, and ESG taxonomy.

Integration of the CCQI Index into Credit Risk Models

1.1 Adaptation of the Merton Model: Adjustment of the Probability of Default (PD) using the CCQI Index The integration of the CCQI Index into credit risk models relies on adapting the structural framework of Merton (1974), where a borrower's Probability of Default (PD) is determined by the distance between the value of their assets and…

05/12/20260Comments

Analyse de marché

Analyse de marché

Systemic Evaluation of the “Selective Credit Crunch” and Modeling of Bank Non-Contagion

Private Credit will not trigger a systemic global banking crisis like 2008, but acts as an extreme amplifier of sector volatility, generating a "sawtooth recession" in corporate credit with a structural rotation towards AI-Native. The analysis conducted by integrating the 7 quantitative layers (semantic NLP, macro DSGE, factor decomposition, Markov-switching regimes, quantum-classical portfolio optimization,…

04/10/20260Comments