Questions tagged [default-probability]
The default-probability tag has no usage guidance.
7
questions
11
votes
4answers
86k views
How to compute the implied probability of default from a CDS spread?
I have two tasks:
Given country's CDS spread draw implied probability of default.
Given probability of default calculate CDS spread.
If possible, refer to any papers.
4
votes
1answer
5k views
Interest rate implied probability of default
Is there an equation or rule of thumb to determine the probility of default for a loan with a specific interest rate?
Let's say, a bank offers a company a loan with an interest rate of 6%, by which ...
3
votes
1answer
149 views
Pricing homogeneous Basket Default Swap
Consider a basket with $K=10$ names. Default times of the names,
$\tau_k$, are i.i.d. random variables with distribution $P(\tau_k \leq
t) = 1 - e^{-\lambda t}$. Suppose that each name in the basket ...
3
votes
1answer
128 views
Simplifying an expectation function of default time and rates
I have the following expectation to calculate :
$$ \mathbf{E}\left[ e^{\int_{t_0}^{\tau} r_s ds} \mathbf{1}_{\{\tau < T\}}\right] $$
More precisely, I want to show that :
$$ \mathbf{E}\left[ e^{\...
3
votes
3answers
1k views
Interpolating probabilities of default
I have a table of cumulative probabilities of default of industrial bonds, in time and credit rating. It is similar to S&P whitepaper here. Basically, it looks like this (sample numbers):
...
3
votes
1answer
4k views
What is Margin of Conservatism
In modelling loss given default,(LGD), we often encounter the term Margin of Conservatism.
What is it in layman's terms? I am not able to find a wikipedia page on this.
1
vote
1answer
102 views
Probability of Default calculation
I am looking for some good resources with handful of workout examples, on the modelling of the Probability of Default under IFRS9...
