Merton Structural Credit Model

Horizon (years) Risk-free rate r Face debt D Base asset vol σA Vol shock ±Δσ 0.050 Market equity (E*) Asset range min Asset range max Grid points Assumed current assets (A*) Show debt yield (otherwise spread)

Equity Value vs Asset Value

Equity Volatility vs Equity Value

Default Probability vs Equity Value

Credit Spread vs Equity Value

Market data note: This demo can pull SPY/VIX/US10Y in-browser from Stooq (no API key). It’s meant for quick intuition. For production-quality feeds (SPX, real-time), you’d typically use a paid API or a small proxy to avoid CORS and rate limits.

Merton Structural Credit Model — D3 (Pure JS)