mhkpayel20
New Member
Suppose that the default rate for a portfolio of consumer loans over the past 10 years has been
1%, 9%, 2%, 3%, 5%, 1%, 6%, 7%, 4%, and 1%. What are the maximum likelihood estimates of
the parameters in Vasicek’s model?
Answer:
The maximum likelihood estimates for the probability of default and the copula correlation are
4.8% and 11.4%, respectively
Question: May I please know how? Thanks
1%, 9%, 2%, 3%, 5%, 1%, 6%, 7%, 4%, and 1%. What are the maximum likelihood estimates of
the parameters in Vasicek’s model?
Answer:
The maximum likelihood estimates for the probability of default and the copula correlation are
4.8% and 11.4%, respectively
Question: May I please know how? Thanks
