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What Is the Difference Between the Vasicek and Merton Models in Risk Manager? (Doc ID 281659.1)

Last updated on FEBRUARY 08, 2020

Applies to:

Oracle Risk Manager - Version 4.5 and later
Information in this document applies to any platform.


When choosing a model for a Risk Manager (RM) stochastic process, it seems like the main improvement from the Merton model to Vasicek model is the mean reversion theory. However, you cannot see the difference when estimating the volatilities in Vasicek and Merton model. Are there any more details about the different statistical skills for the two volatilities? 


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