# Default Probabilities and the Credit Spread of Mexican Companies: The Modified Merton Model

^{1}

^{2}

^{*}

## Abstract

**:**

## 1. Introduction

## 2. Literature Review

## 3. Methods

#### 3.1. Merton’s Model, Vasicek, and Kealhofer

_{T}with an exercise price equal to B since:

#### 3.2. Brownian Motion (BM) and Power Law Brownian Motion Models

#### 3.2.1. An Introduction at Brownian Model

#### 3.2.2. Brownian Motion (BM) Model

**Proposition 1.**

**Proposition 2.**

#### 3.2.3. Power Law Brownian Motion (PLBM) Model

#### 3.3. The Bloomberg Corporate Default Risk Model (DRSK) for Public Firms

#### 3.4. Modified Merton Model

#### 3.4.1. Fractional and Conformable Derivatives

**Theorem 1.**

- ${D}^{\alpha}\left[af+bg\right]=a{D}^{\alpha}\left[f\right]+b{D}^{\alpha}\left[g\right]$, linearity;
- ${D}^{\alpha}\left[fg\right]$ = $f{D}^{\alpha}\left[g\right]+g{D}^{\alpha}\left[f\right]$, product rule;
- ${D}^{\alpha}\left[f\left(g\right)\right]=\frac{df}{dg}{D}^{\alpha}\left[g\right]$, chain rule.

#### 3.4.2. Proposed Model

#### Solving the Black, Scholes, and Merton Equation by Conformable Derivatives

#### 3.4.3. Test Parameter

## 4. Empirical Results

#### Data Collection

- In an analogy to the standard deviation, taking the square root of the MSE yields the root mean square error or root mean square deviation (RMSE or RMSD, respectively), which has the same units as the square of the quantity being estimated; for an unbiased estimator, the RMSE is the square root of the variance, known as the standard deviation.

- In statistics, the mean absolute error (MAE) is a measure of errors between paired observations expressing the same phenomenon. For example, Y versus X include comparisons of predicted versus observed. The MAE is calculated as the sum of absolute errors (${e}_{i})\text{}$ divided by the sample size:

## 5. Conclusions

## Author Contributions

## Funding

## Data Availability Statement

## Acknowledgments

## Conflicts of Interest

## References

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**Figure 1.**Weighted average real credit spread vs. Merton’s model, the modified Merton model, and the weighted average PLBM model.

Company | Sector | Total Amount of Debt | Weighted Average Duration | Number of Liabilities | Base Rate | Weighted Average Credit Spread | |
---|---|---|---|---|---|---|---|

Vista Oil & Gas, S.A.B. de C.V. | Energy | 374 | 1.56 | 1 | 1.29% | plus | 4.50% |

Accel, S.A.B. de C.V. | Industrial | 779 | 5.66 | 3 | 1.29% | plus | 2.04% |

Acosta Verde, S.A.B. de C.V. | Industrial | 3056 | 7.34 | 17 | 4.63% | plus | 2.50% |

Aleatica, S.A.B. de C.V. | Industrial | 6318 | 5.57 | 1 | 1.29% | plus | 2.62% |

Alfa, S.A.B. de C.V. | Industrial | 50 | 2.36 | 1 | 4.63% | plus | 1.75% |

Consorcio Ara, S.A.B. de C.V. | Industrial | 507 | 5.49 | 7 | 4.63% | plus | 2.26% |

Consorcio Aristos, S.A.B. de C.V. | Industrial | 62 | 4.89 | 7 | 4.63% | plus | 5.25% |

Corpovael S.A.B. de C.V. | Industrial | 3092 | 1.59 | 22 | 4.63% | plus | 3.06% |

Dine, S.A.B. de C.V. | Industrial | 210 | 2.08 | 1 | 4.63% | plus | 3.60% |

Gméxico Transportes, S.A.B. de C.V. | Industrial | 64 | 0.76 | 3 | 4.63% | plus | 0.20% |

Grupo Aeroportuario Del Centro Norte, S.A.B. de C.V. | Industrial | 2700 | 1.91 | 3 | 4.63% | plus | 0.89% |

Grupo Aeroportuario Del Pacifico, S.A.B.de C.V. | Industrial | 13,800 | 2.88 | 6 | 4.63% | plus | 0.39% |

Grupo Aeroportuario Del Sureste, S.A.B. de C.V. | Industrial | 5 | 4.57 | 2 | 4.63% | plus | 1.32% |

Grupo Gicsa, S.A.B. de C.V. | Industrial | 4429 | 4.7 | 6 | 4.63% | plus | 4.37% |

Grupo Mexicano de Desarrollo, S.A.B. | Industrial | 65,974 | 1.46 | 5 | 4.63% | plus | 3.05% |

Grupo TMM, S.A. | Industrial | 80 | 0.53 | 5 | 4.63% | plus | 5.10% |

Grupo Traxión S.A.B de C.V. | Industrial | 3781 | 0.51 | 8 | 4.63% | plus | 1.94% |

Impulsora Del Desarrollo Y El Empleo En America Latina, S.A.B. de C.V. | Industrial | 12,794 | 8.94 | 7 | 4.63% | plus | 3.67% |

Orbia Advance Corporation, S.A.B. de C.V. | Industrial | 986 | 0.5 | 1 | 4.63% | plus | 0.55% |

Promotora Ambiental, S.A.B. de C.V. | Industrial | 2255 | 0.48 | 4 | 4.63% | plus | 1.44% |

Servicios Corporativos Javer, S.A.B. de C.V. | Industrial | 2521 | 2.49 | 1 | 4.63% | plus | 7.75% |

Cemex, S.A.B. de C.V. | Materials | 1481 | 3.76 | 4 | 4.63% | plus | 2.23% |

Compañia Minera Autlan, S.A.B. de C. V. | Materials | 3 | 5.29 | 4 | 4.63% | plus | 4.32% |

Convertidora Industrial, S.A.B. de C.V. | Materials | 365 | 1.7 | 16 | 4.63% | plus | 2.75% |

Cydsa, S.A.B. de C.V. | Materials | 2751 | 10.19 | 1 | 4.66% | plus | 2.50% |

G Collado, S.A.B. de C.V. | Materials | 174 | 0.11 | 1 | 4.63% | plus | 4.36% |

Grupo Carso, S.A.B. de C.V. | Materials | 3500 | 2.25 | 1 | 4.63% | plus | 0.22% |

Grupo Kuo, S.A.B. de C.V. | Materials | 711 | 1.59 | 2 | 4.66% | plus | 1.60% |

Grupo Pochteca, S.A.B. de C.V. | Materials | 1975 | 2.46 | 2 | 4.63% | plus | 3.67% |

Minera Frisco, S.A.B. de C.V. | Materials | 7350 | 2.81 | 1 | 4.66% | plus | 2.56% |

Proteak Uno, S.A.B. de C.V. | Materials | 775 | 1.39 | 3 | 1.29% | plus | 4.59% |

Arca Continental | Products Of Frequent Consumption | 12 | 3.23 | 9 | 4.65% | plus | 0.32% |

Fomento Económico Mexicano, S.A.B. de C.V. | Products Of Frequent Consumption | 5662 | 3.47 | 3 | 4.63% | plus | 0.11% |

Gruma, S.A.B. de C.V. | Products Of Frequent Consumption | 1050 | 0.54 | 2 | 4.63% | plus | 0.22% |

Grupo Bimbo, S.A.B. de C.V. | Products Of Frequent Consumption | 35,500 | 3.04 | 2 | 4.63% | plus | 0.95% |

Grupo Comercial Chedraui, S.A.B. de C.V. | Products Of Frequent Consumption | 17,568 | 3.25 | 6 | 4.63% | plus | 1.46% |

Grupo Gigante, S.A.B. de C.V. | Products Of Frequent Consumption | 9 | 4.86 | 6 | 4.63% | plus | 2.47% |

Grupo Herdez, S.A.B. de C.V. | Products Of Frequent Consumption | 3500 | 0.54 | 7 | 4.66% | plus | 1.23% |

Grupo Minsa, S.A.B. de C.V. | Products Of Frequent Consumption | 100 | 2.15 | 7 | 4.63% | plus | 2.77% |

Industrias Bachoco, S.A.B. de C.V. | Products Of Frequent Consumption | 1500 | 3.44 | 1 | 4.63% | plus | 0.31% |

Kimberly-Clark De Mexico S.A.B. de C.V. | Products Of Frequent Consumption | 6000 | 3.2 | 2 | 4.63% | plus | 0.37% |

Organización Cultiba, S.A.B. de Cv | Products Of Frequent Consumption | 752 | 2.95 | 6 | 4.63% | plus | 2.49% |

Organizacion Soriana, S.A.B. de C.V. | Products Of Frequent Consumption | 8538 | 1.82 | 4 | 4.63% | plus | 0.55% |

Genomma Lab Internacional, S.A.B. de C.V. | Health | 97,790 | 2.01 | 20 | 4.63% | plus | 1.06% |

Medica Sur, S.A.B. de C.V. | Health | 1200 | 1.6 | 2 | 4.63% | plus | 2.25% |

El Puerto de Liverpool, S.A.B. de C.V. | Non-Commodity Goods and Services | 1500 | 0.67 | 1 | 4.63% | plus | 0.25% |

Grupo Elektra, S.A.B. de C.V. | Non-Commodity Goods and Services | 13,080 | 0.75 | 10 | 4.63% | plus | 2.34% |

Grupo Vasconia S.A.B. | Non-Commodity Goods and Services | 145 | 1.3 | 1 | 4.63% | plus | 2.90% |

Grupe, S.A.B. de C.V. | Non-Commodity Goods and Services | 1365 | 7.32 | 3 | 4.63% | plus | 3.30% |

America Movil, S.A.B. de C.V. | Telecommunications Services | 34,080 | 0.51 | 10 | 4.93% | plus | 0.32% |

Axtel, S.A.B. de C.V. | Telecommunications Services | 3205 | 5.5 | 2 | 4.63% | plus | 2.10% |

Grupo Radio Centro, S.A.B. de C.V. | Telecommunications Services | 711 | 5.45 | 6 | 4.63% | plus | 3.62% |

Grupo Televisa, S.A.B. | Telecommunications Services | 17,935 | 0.47 | 4 | 4.63% | plus | 1.26% |

Megacable Holdings, S.A.B. de C.V. | Telecommunications Services | 6823 | 0.58 | 4 | 4.63% | plus | 0.28% |

Tv Azteca, S.A.B. de C.V. | Telecommunications Services | 5708 | 3.22 | 4 | 4.63% | plus | 2.74% |

Alsea, S.A.B. de C.V. | Non-Commodity Goods and Services | 565 | 1.95 | 2 | 4.63% | plus | 1.85% |

CMR S.A.B. de C.V. | Non-Commodity Goods and Services | 1141 | 3.33 | 1 | 4.63% | plus | 4.30% |

Corporacion Interamericana de Entretenimiento, S.A.B. De C.V. | Non-Commodity Goods and Services | 850 | 0.31 | 4 | 4.63% | plus | 2.66% |

Grupo Famsa, S.A.B. De C.V. | Non-Commodity Goods and Services | 4529 | 0.66 | 7 | 4.63% | plus | 2.83% |

Grupo Hotelero Santa Fe, S.A.B. De C.V. | Non-Commodity Goods and Services | 343 | 2.95 | 2 | 4.63% | plus | 3.00% |

Grupo Palacio de Hierro, S.A.B. De C.V. | Non-Commodity Goods and Services | 1 | 0.86 | 2 | 4.63% | plus | 0.02% |

Grupo Sports World, S.A.B. De C.V. | Non-Commodity Goods and Services | 2 | 0.76 | 2 | 4.63% | plus | 1.72% |

Hoteles City Express, S.A.B. De C.V. | Non-Commodity Goods and Services | 5101 | 3.42 | 18 | 4.63% | plus | 3.34% |

Nemak, S.A.B. De C.V. | Non-Commodity Goods and Services | 3788 | 7.1 | 1 | 4.63% | plus | 2.70% |

Company | DRSK 1 Year | DRSK 2 Years | Bloomberg Credit Spread | EDF 1 Year | KMV Moody’s |
---|---|---|---|---|---|

Vista Oil & Gas, S.A.B. e C.V. | 0.22% | 0.97% | 2.46% | 3.02% | B1 |

Accel, S.A.B. de C.V. | 0.00% | 0.00% | 0.92% | 3.02% | B1 |

Acosta Verde, S.A.B. de C.V. | 0.52% | 1.40% | 2.75% | 1.98% | Ba3 |

Aleatica, S.A.B. de C.V. | 0.48% | 2.11% | 2.82% | 1.67% | Ba |

Alfa, S.A.B. de C.V. | 0.27% | 0.99% | 2.67% | 2.02% | Baa3 |

Consorcio Ara, S.A.B. de C.V. | 0.03% | 0.26% | 2.24% | 1.67% | Ba2 |

Consorcio Aristos, S.A.B. de C.V. | 1.55% | 3.38% | 3.15% | 35.00% | Caa-C |

Corpovael S.A.B. de C.V. | 1.66% | 4.55% | 3.27% | 7.58% | B3 |

Dine, S.A.B. de C.V. | 0.00% | 0.00% | 0.71% | 3.02% | B1 |

Gméxico Transportes, S.A.B. de C.V. | 0.79% | 2.33% | 2.76% | 3.02% | B1 |

Grupo Aeroportuario Del Centro Norte, S.A.B. de C.V. | 0.00% | 0.05% | 1.47% | 6.71% | B3 |

Grupo Aeroportuario Del Pacifico, S.A.B. de C.V. | 0.01% | 0.17% | 1.83% | 0.37% | Baa1 |

Grupo Aeroportuario Del Sureste, S.A.B. de C.V. | 0.00% | 0.04% | 1.56% | 6.71% | B3 |

Grupo Gicsa, S.A.B. de C.V. | 3.71% | 5.93% | 3.31% | 1.67% | Ba2 |

Grupo Mexicano de Desarrollo, S.A.B. | 0.35% | 1.16% | 2.55% | 3.02% | B2 |

Grupo TMM, S.A. | 0.58% | 1.90% | 2.56% | 6.71% | B3 |

Grupo Traxión S.A.B De C.V. | 0.30% | 1.18% | 2.38% | 3.02% | B1 |

Impulsora Del Desarrollo y el Empleo en America Latina, S.A.B. de C.V. | 0.00% | 0.12% | 1.66% | 4.35% | B2 |

Orbia Advance Corporation, S.A.B. de C.V. | 0.21% | 0.87% | 2.39% | 0.98% | Ba1 |

Promotora Ambiental, S.A.B. de C.V. | 0.00% | 0.03% | 1.37% | 1.67% | Ba2 |

Servicios Corporativos Javer, S.A.B. de C.V. | 0.00% | 0.00% | 0.39% | 35.00% | Caa-C |

Cemex, S.A.B. de C.V. | 0.53% | 1.75% | 2.71% | 0.93% | Ba1 |

Compañia Minera Autlan, S.A.B. de C. V. | 0.01% | 0.10% | 1.87% | 6.71% | B3 |

Convertidora Industrial, S.A.B. de C.V. | 0.00% | 0.00% | 0.74% | 0.37% | Baa1 |

Cydsa, S.A.B. de C.V. | 0.01% | 0.19% | 2.17% | 3.52% | Ba2 |

G Collado, S.A.B. de C.V. | 0.04% | 0.34% | 2.33% | 6.71% | B3 |

Grupo Carso, S.A.B. de C.V. | 0.03% | 0.35% | 2.20% | 0.37% | Baa1 |

Grupo Kuo, S.A.B. de C.V. | 0.00% | 0.01% | 1.41% | 0.98% | Ba1 |

Grupo Pochteca, S.A.B. de C.V. | 0.01% | 0.19% | 1.79% | 3.02% | B3 |

Minera Frisco, S.A.B. de C.V. | 0.31% | 1.13% | 2.48% | 0.37% | Baa1 |

Proteak Uno, S.A.B. de C.V. | 0.98% | 2.79% | 2.69% | 6.71% | B3 |

Arca Continental | 0.00% | 0.03% | 1.66% | 0.37% | Baa1 |

Fomento Económico Mexicano, S.A.B. de C.V. | 0.00% | 0.01% | 1.42% | 0.37% | Baa1 |

Gruma, S.A.B. de C.V. | 0.03% | 0.35% | 2.39% | 0.37% | Baa1 |

Grupo Bimbo, S.A.B. de C.V. | 0.03% | 0.29% | 2.34% | 0.38% | Baa2 |

Grupo Comercial Chedraui, S.A.B. de C.V. | 0.01% | 0.18% | 2.18% | 6.71% | B3 |

Grupo Gigante, S.A.B. de C.V. | 0.00% | 0.05% | 1.60% | 3.02% | B1 |

Grupo Herdez, S.A.B. de C.V. | 0.14% | 0.76% | 2.71% | 4.35% | B2 |

Grupo Minsa, S.A.B. de C.V. | 0.00% | 0.04% | 1.57% | 1.98% | Ba3 |

Industrias Bachoco, S.A.B. de C.V. | 0.00% | 0.01% | 1.42% | 0.37% | Baa1 |

Kimberly-Clark de Mexico S.A.B. de C.V. | 0.00% | 0.00% | 1.08% | 0.37% | Baa1 |

Organización Cultiba, S.A.B. de C.V. | 0.00% | 0.07% | 1.62% | 0.37% | Baa1 |

Organizacion Soriana, S.A.B. de C.V. | 0.00% | 0.08% | 1.86% | 0.98% | Ba1 |

Genomma Lab Internacional, S.A.B. de C.V. | 0.04% | 0.37% | 2.23% | 3.02% | B1 |

Medica Sur, S.A.B. de C.V. | 0.43% | 1.71% | 2.78% | 4.35% | B2 |

El Puerto de Liverpool, S.A.B. de C.V. | 0.00% | 0.00% | 1.06% | 0.37% | Baa1 |

Grupo Elektra, S.A.B. de C.V. | 0.00% | 0.13% | 1.50% | 3.02% | B1 |

Grupo Vasconia S.A.B. | 2.41% | 4.43% | 3.21% | 3.02% | B1 |

Grupe, S.A.B. de C.V. | 0.00% | 0.00% | 0.42% | 1.98% | Ba3 |

America Movil, S.A.B. de C.V. | 0.01% | 0.18% | 1.49% | 0.48% | Baa2 |

Axtel, S.A.B. de C.V. | 3.73% | 6.51% | 2.50% | 4.35% | B2 |

Grupo Radio Centro, S.A.B. de C.V. | 0.00% | 0.00% | 0.28% | 6.71% | B3 |

Grupo Televisa, S.A.B. | 0.65% | 2.29% | 1.99% | 1.98% | Ba3 |

Megacable Holdings, S.A.B. de C.V. | 0.01% | 0.13% | 1.32% | 0.37% | Baa1 |

Tv Azteca, S.A.B. de C.V. | 4.08% | 5.76% | 2.50% | 35.00% | Caa-C |

Alsea, S.A.B. de C.V. | 0.20% | 0.86% | 2.70% | 3.02% | B1 |

CMR, S.A.B. de C.V. | 1.80% | 3.06% | 3.13% | 2.02% | Baa3 |

Corporacion Interamericana de Entretenimiento, S.A.B. de C.V. | 0.00% | 0.00% | 0.91% | 3.02% | Baa3 |

Grupo Famsa, S.A.B. de C.V. | 14.30% | 16.07% | 4.10% | 35.00% | Caa-C |

Grupo Hotelero Santa Fe, S.A.B. de C.V. | 0.04% | 0.34% | 2.23% | 3.02% | B1 |

Grupo Palacio de Hierro, S.A.B. de C.V. | 0.00% | 0.00% | 0.38% | 0.37% | Baa1 |

Grupo Sports World, S.A.B. de C.V. | 7.53% | 10.55% | 3.57% | 3.20% | B1 |

Hoteles City Express, S.A.B. de C.V. | 0.58% | 2.12% | 2.89% | 6.71% | B3 |

Nemak, S.A.B. de C.V. | 0.30% | 1.00% | 2.68% | 3.20% | B1 |

Max Bloomberg y Moody’s (Famsa) | 14.30% | 16.07% | 4.10% | 35.00% | |

Min Bloomberg y Moody’s (Palacio de Hierro) | 0.00% | 0.00% | 0.28% | 0.37% | |

Average | 0.77% | 1.43% | 2.05% | 4.78% | |

Correlation Between DRSK 1 year vs. EDF I Year | 51% | ||||

Correlation Between EDF1 year and Debt Cost calculated by Bloomberg | 55% | ||||

Correlation Between DRSK 1 year and Debt Cost calculated by Bloomberg | 20% |

Merton | BM | PLBM | Modified | ||
---|---|---|---|---|---|

Bloomberg | Merton | ||||

G Value | −0.17 | −2.16 | −13.105 | 0.50 | 0.77 |

Market Value of Equity Multiplied by the Proportion of Debts Referenced to a Base Rate | Merton’s Modified Model Value of Firm | Traditional Merton’s Model Value of Firm | |
---|---|---|---|

Vista Oil & Gas, S.A.B. de C.V. | 3204 | 4094 | 4108 |

Accel, S.A.B. de C.V. | 71 | 1515 | 1511 |

Acosta Verde, S.A.B. de C.V. | 4174 | 5360 | 5391 |

Aleatica, S.A.B. de C.V. | 4413 | 19,198 | 18,777 |

Alfa, S.A.B. de C.V. | 17 | 83 | 76 |

Consorcio Ara, S.A.B. de C.V. | 377 | 1216 | 1464 |

Consorcio Aristos, S.A.B. de C.V. | 336 | 648 | 565 |

Corpovael S.A.B. de C.V. | 5622 | 10,211 | 10,025 |

Dine, S.A.B. de C.V. | 367 | 681 | 685 |

Gméxico Transportes, S.A.B. de C.V. | 10 | 87 | 86 |

Grupo Aeroportuario Del Centro Norte, S.A.B. de C.V. | 1084 | 4714 | 4680 |

Grupo Aeroportuario Del Pacifico, S.A.B. de C.V. | 52,297 | 91,120 | 90,885 |

Grupo Aeroportuario Del Sureste, S.A.B. de C.V. | 27 | 51 | 51 |

Grupo Gicsa, S.A.B. de C.V. | 2308 | 14,837 | 14,591 |

Grupo Mexicano de Desarrollo, S.A.B. | 660 | 85,512 | 79,305 |

Grupo TMM, S.A. | 12 | 149 | 119 |

Grupo Traxión S.A.B de C.V. | 6750 | 16,585 | 12,409 |

Impulsora Del Desarrollo y e Empleo en America Latina, S.A.B. De C.V. | 74,219 | 210,948 | 202,277 |

Orbia Advance Corporation, S.A.B. de C.V. | 13,675 | 15,381 | 15,392 |

Promotora Ambiental, S.A.B. de C.V. | 1012 | 3884 | 3664 |

Servicios Corporativos Javer, S.A.B. de C.V. | 1664 | 5510 | 5572 |

Cemex, S.A.B. de C.V. | 9573 | 17,441 | 17,413 |

Compañia Minera Autlan, S.A.B. de C. V. | 194 | 16,021 | 333 |

Convertidora Industrial, S.A.B. de C.V. | 90 | 511 | 512 |

Cydsa, S.A.B. de C.V. | 1262 | 12,891 | 12,522 |

G Collado, S.A.B. de C.V. | 994 | 1179 | 1179 |

Grupo Carso, S.A.B. de C.V. | 7265 | 16,021 | 16,021 |

Grupo Kuo, S.A.B. de C.V. | 211 | 1364 | 1218 |

Grupo Pochteca, S.A.B. de C.V. | 145 | 19,002 | 2778 |

Minera Frisco, S.A.B. de C.V. | 5218 | 17,726 | 17,425 |

Proteak Uno, S.A.B. de C.V. | 1630 | 3081 | 2977 |

Arca Continental | 26 | 54 | 53 |

Fomento Económico Mexicano, S.A.B. de C.V. | 4845 | 14,962 | 14,695 |

Gruma, S.A.B. de C.V. | 36,744 | 39,699 | 39,707 |

Grupo Bimbo, S.A.B. de C.V. | 41,978 | 106,305 | 102,355 |

Grupo Comercial Chedraui, S.A.B. de C.V. | 6614 | 34,077 | 34,134 |

Grupo Gigante, S.A.B. de C.V. | 10 | 30 | 31 |

Grupo Herdez, S.A.B. de C.V. | 5977 | 12,087 | 10,723 |

Grupo Minsa, S.A.B. de C.V. | 173 | 329 | 322 |

Industrias Bachoco, S.A.B. de C.V. | 3695 | 7326 | 7349 |

Kimberly-Clark De Mexico S.A.B. de C.V. | 13,287 | 36,864 | 28,911 |

Organización Cultiba, S.A.B. de C.V. | 389 | 1576 | 1563 |

Organizacion Soriana, S.A.B. de C.V. | 1554 | 12,284 | 11,843 |

Genomma Lab Internacional, S.A.B. de C.V. | 11,526 | 21,166 | 20,834 |

Medica Sur, S.A.B. de C.V. | 3135 | 4943 | 4874 |

El Puerto De Liverpool, S.A.B. de C.V. | 1751 | 3497 | 3498 |

Grupo Elektra, S.A.B. de C.V. | 14,130 | 28,042 | 28,060 |

Grupo Vasconia S.A.B. | 120 | 307 | 304 |

Grupe, S.A.B. de C.V. | 875 | 4192 | 3827 |

Axtel, S.A.B. de C.V. | 2605 | 12,247 | 12,107 |

Grupo Radio Centro, S.A.B. de C.V. | 303 | 2224 | 1982 |

Grupo Televisa, S.A.B. | 9937 | 29,043 | 30,865 |

Megacable Holdings, S.A.B. de C.V. | 43,799 | 53,770 | 53,756 |

Tv Azteca, S.A.B. de C.V. | 2 | 7854 | 7865 |

Alsea, S.A.B. de C.V. | 236 | 909 | 966 |

CMR S.A.B. de C.V. | 343 | 1899 | 1784 |

Corporacion Interamericana de Entretenimiento, S.A.B. de C.V. | 730 | 1629 | 1629 |

Grupo Famsa, S.A.B. de C.V. | 137 | 9160 | 6937 |

Grupo Hotelero Santa Fe, S.A.B. de C.V. | 210 | 1117 | 919 |

Grupo Palacio de Hierro, S.A.B. de C.V. | 1 | 3 | 3 |

Grupo Sports World, S.A.B. de C.V. | 10 | 14 | 13 |

Hoteles City Express, S.A.B. de C.V. | 1383 | 10,006 | 9696 |

Nemak, S.A.B. de C.V. | 1068 | 7028 | 8061 |

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## Share and Cite

**MDPI and ACS Style**

Morales-Bañuelos, P.; Fernández-Anaya, G.
Default Probabilities and the Credit Spread of Mexican Companies: The Modified Merton Model. *Mathematics* **2023**, *11*, 4397.
https://doi.org/10.3390/math11204397

**AMA Style**

Morales-Bañuelos P, Fernández-Anaya G.
Default Probabilities and the Credit Spread of Mexican Companies: The Modified Merton Model. *Mathematics*. 2023; 11(20):4397.
https://doi.org/10.3390/math11204397

**Chicago/Turabian Style**

Morales-Bañuelos, Paula, and Guillermo Fernández-Anaya.
2023. "Default Probabilities and the Credit Spread of Mexican Companies: The Modified Merton Model" *Mathematics* 11, no. 20: 4397.
https://doi.org/10.3390/math11204397