Merton distance-to-default & PD API

Compute the Merton structural-model distance-to-default and probability of default: DD = (ln(V/D) + (mu - 0.5·sigma^2)·T) / (sigma·sqrt(T)), PD = N(-DD), treating equity as a call option on assets. Returns DD, PD, leverage, and the echoed inputs. Answers 'Merton distance to default','structural-model probability of default','how many standard deviations from default'.

Price$0.016per request

MethodPOST

Route/v1/score/credit-merton-dd

StatusLive

MIME typeapplication/json

Rate limit120/minute

CacheNo cache

scorecreditmertondistance-to-defaultdefault-probabilitystructuralkmvrisk

API URLhttps://x402.hexl.dev/v1/score/credit-merton-dd

Integration docs

Example request

{
  "assetValue": 120,
  "debtFaceValue": 100,
  "assetVolatility": 0.2,
  "drift": 0.05,
  "horizonYears": 1
}

Example response

{
  "model": "Merton distance-to-default",
  "distanceToDefault": 1.0616,
  "probabilityOfDefault": 0.1442,
  "leverage": 0.8333,
  "interpretation": "Thin cushion — elevated default risk",
  "inputs": {
    "assetValue": 120,
    "debtFaceValue": 100,
    "assetVolatility": 0.2,
    "drift": 0.05,
    "horizonYears": 1
  }
}

Input schema

{
  "type": "object",
  "required": [
    "assetValue",
    "debtFaceValue",
    "assetVolatility"
  ],
  "properties": {
    "assetValue": {
      "type": "number",
      "description": "Market value of assets (V)",
      "examples": [
        120
      ]
    },
    "debtFaceValue": {
      "type": "number",
      "description": "Face value of debt / default barrier (D)",
      "examples": [
        100
      ]
    },
    "assetVolatility": {
      "type": "number",
      "description": "Annualized asset volatility (sigma, decimal)",
      "examples": [
        0.2
      ]
    },
    "drift": {
      "type": "number",
      "description": "Expected asset return (mu, decimal)",
      "default": 0.05,
      "examples": [
        0.05
      ]
    },
    "horizonYears": {
      "type": "number",
      "description": "Horizon T in years",
      "default": 1,
      "examples": [
        1
      ]
    }
  }
}

Output schema

{
  "type": "object",
  "additionalProperties": true
}