---
title: Esscher Algorithm for Default Probabilities
url: https://www.ml-quant.com/papers/ssrn/4880705/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4880705
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4880705
featured: 2024-07-03
citations: unknown
topic: Risk, Credit & Banking
---


# Esscher Algorithm for Default Probabilities

The article presents a new Esscher-based algorithm for determining default probabilities in structural credit risk models, providing a more accurate tail behavior than the traditional Merton model.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4880705
- Identifier: SSRN 4880705
- Released: 2024-06-29
- First featured: Quant Letter No. 55 (2024-07-03): https://www.ml-quant.com/issues/2024-07-03/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Risk, Credit & Banking

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