marginal-probability-of-default

  1. M

    Definitions of probability of default vs. cumulative or marginal probability of default

    Hi, in book 2, chapter 4 (or the BT study notes), the following definitions are presented: I do not understand how to read the second definition. [t, t+k) is a continuous set. Therefore, I do not see how the numerator is supposed to be defined here. Even if I assume that we simply iterate...
    • Merlinius
    • Thread
    • cumulative-probability-of-default delaurentis forward-probability-of-default hazard-rate marginal-probability-of-default probability-of-default
    • Replies: 7
    • Forum: P2.T6. Credit Risk (25%)
  2. Nicole Seaman

    P2.T6.702. Credit rating assignment methodologies (De Laurentis)

    Learning objectives: Explain the key features of a good rating system. Describe the experts-based approaches, statistical-based models, and numerical approaches to predicting default. Describe a rating migration matrix and calculate the probability of default, cumulative probability of default...
    • Nicole Seaman
    • Thread
    • annualized-default-rate credit-rating-assignment cumulative-probability-of-default delaurentis marginal-probability-of-default probability-of-default rating-migration-matrix rating-systems
    • Replies: 0
    • Forum: FRM® Practice Questions
  3. K

    marginal PD

    HI DAVID IS THE MARGINAL PD = UNCONDITIONAL PD OR MARGIINAL PD = CONDITIONAL PD? I AM ASKING WITH FOLOWING TO QUESTION # 12 IN THE 2010 SAMPLE EXAM
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