merton.xlsx

	A	B	D	E	F	H	I	J	K	L
1	MERTON MODEL FOR RISK ANALYSIS
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3						Intermediate Calculations
4	Parameters			Equity	extra recovery	d1	d2	nd1	nd2	n_dash_d1
5	Value of Asset	100	Value	53.8189477	0.54699468	1.924864612	1.477651016	0.9728768509	0.9302493941	0.06256868163
6	Value of Debt	60	Delta	0.9728768509	-0.0271231491
7	Risk-Free Rate	0.05	Gamma	0.001399078254	0.001399078254
8	Asset Volatility observed	0.2	Vega	13.99078254	13.99078254
9	ROE	0	Theta	-2.45325252	-0.1168501713
10	Time to maturity	5
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