  Because the asset value of a private company does not observable except in
quarterly reports, the structural model has not been developed for a private
company. For this reason, this paper attempt to develop the Merton's structural
model for the private company by using the dividend discount model (DDM). In
this paper, we obtain closed--form formulas of risk--neutral equity and
liability values and default probability for the private company. Also, the
paper provides ML estimators and the EM algorithm of our model's parameters.
