The distance to default is the probability that the market value of a firm's assets falls below the value of the debt. The calculation used by EDHECinfra is in lines with the Merton (1974) model:

DD = N^{-1}(1 - PD1)


DD is the Distance to Default.
N^{-1}(.) is the inverse function of the cumulative probability of the standard normal distribution.
PD1 is the Hard Default Probability.

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