implied pd

[ajsa]

Hi David,

just to double check, in your example, http://www.bionicturtle.com/premium/spreadsheet/6.e.2_implied_pd/
you ignored recovery rate (or zero RR), right?

thanks.

 

[David Harper CFA FRM]

Hi asja,

the first tab (Hull Table 22.3) defintely *includes* recovery ... but, yes the second tab, top panel (Saunders Ex 11-6) assumes zero recovery per his simpler approach (below that, in orange, the version that includes recovery but is very unlikely to be testable)...David