Hi @David Harper CFA FRM , this question is w.r.t. Hull Chapter 24: Credit Risk. Can you please help me understand why the calculation for PD between year 2 and 3 (PD2,3) uses the euler's number e whereas the calculation for PD between year 1 and 2 (PD1,2) just uses the difference between PD(0,2) - PD(0,1)? Since using the simple difference between PD(0,3) - PD(0,2) yields a different figure compared to using the euler's number e.
Have I overlooked something here?
Have I overlooked something here?
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