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3 questions
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Joint probability of default
Had a couple of questions from Jorion's FRM book (5th edition, page 438, Table 18.2 shown below). The book has a very stylized example as shown in the table below. The example shows how to calculate ...
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0
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conditional probability of default
I would like to ask the following question.
I would appreciate if someone could help me out.
On what argument is based that states that conditional default rates ( loans of corporate borrowers) ...
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7
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671
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Are there any well known methods of testing through-the-cycle rating systems?
Rating systems, as defined by the Basel II Accord, can be classified into two broad types - through-the-cycle (TTC) or point-in-time (PIT) - and the probability of default predicted by such a system ...
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