Thursday, August 5, 2021

Modeling Low Default Portfolio Dependent Case:

 Modeling Low Default Portfolio Dependent Case:


VASCIEK MODEL: Dependence between the default is explained by by Vasicek model.

By using conditional probability from the Vasicek model in the case where there are no defaults, the probability of default is the solution of below equations:




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Incorporating IPCC Climate Projections into Probability of Default:

  For a detailed description od theory and excel worbook example, refer to the attached link https://drive.google.com/drive/folders/1vAcH8ge...