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Results tagged with probability
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user 9265
A probability expresses quantitatively how likely an event is to occur. We often encounter probabilities as conditional probabilities which express how likely an event is to occur in light of certain (given) information.
5
votes
KMV-Merton Probabilties of Default vs Moody's EDF
understand that Moody's uses an empirical distribution while KMV
uses a normal distribution in order to calculate these probabilities
KMV doesn't use a normal distribution to map distance to default to a probability … By a strict structural interpretation, $EDF$, the expected default
frequency, meaning the probability of observing the firm to default
within one year, ought to equal the normal probability
$EDF_t …
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