Bank default risk analysis using Merton's Distance-to-Default model. Computes PD scores from market and balance sheet data with solver validation and logging. Built in Python.
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Oct 24, 2025 - Jupyter Notebook
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merton-model
Here are 10 public repositories matching this topic...
KMV/Merton structural credit ratings with quantified uncertainty — 150-name universe, bootstrap-validated, benchmarked against agency ratings. Live terminal + Python pipeline.
python github-pages typescript nextjs pandas quantitative-finance uncertainty-quantification kmv credit-risk fastapi yfinance probability-of-default credit-rating merton-model structural-credit-model
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Jul 27, 2026 - Python
Distressed-corporate turnaround simulator merging Merton distance-to-default, Altman Z-score and Bayesian lender belief into a 12-quarter decision engine. Python · Streamlit · Plotly.
python fintech bayesian-inference quantitative-finance corporate-finance credit-risk restructuring financial-modeling streamlit altman-z-score merton-model distressed-debt
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May 31, 2026 - Python
Merton portfolio optimization with a Wishart-process covariance (Dyson eigenvalue repulsion / RMT), solved via matrix Riccati and a Deep BSDE. 170 tests + CI.
python tensorflow numpy portfolio-optimization computational-finance hjb random-matrix-theory stochastic-control quant-finance merton-model deep-bsde wishart-process
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Jun 27, 2026 - Python
Dynamic credit-portfolio management under macroeconomic conditions — Merton PD, econometric forecasting, portfolio optimization, backtesting (MSc thesis).
python machine-learning econometrics portfolio-optimization quantitative-finance backtesting credit-risk merton-model
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Jun 29, 2026 - Python
An advanced Python framework for pricing financial derivatives beyond Black-Scholes using the Heston Stochastic Volatility Model and the Merton Jump Diffusion Model. The project evaluates European, American, and Barrier options, analyzes strike sensitivities, and computes Greeks using Monte Carlo simulations.
python monte-carlo quantitative-finance jump-diffusion financial-engineering derivative-pricing heston-model barrier-options wqu stochastic-volatility mscfe worldquant-university merton-model
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Jul 24, 2026 - Jupyter Notebook
A structural credit risk engine implementing the Merton (1974) model. Reverse-engineers Black-Scholes to calculate Distance-to-Default (DD) and Implied Default Probabilities (PD) using market equity data and balance sheet structures.
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Jan 11, 2026 - Jupyter Notebook
Developed a quantitative credit risk assessment framework using Merton's Default Probability Model, Minsky's Financial Instability Hypothesis, and Markov Chains to classify companies into risk categories and analyze long-term investment risk.
python finance risk-analysis markov-chain data-analysis quantitative-finance investment-analysis credit-risk financial-modeling merton-model
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Jun 4, 2026
📊 Institutional Financial Ratios & Merton Credit Risk Default Engine
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Jul 23, 2026 - Python
Credit risk from first principles: Merton structural model (equity = call on assets, debt three independent ways), hazard/intensity survival, CDS legs + bootstrap, defaultable bonds. Every formula identity-tested — the credit triangle emerges, never echoed. No pricing library underneath.
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Jun 10, 2026 - Python
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