What's new

# marginal-probability-of-default

1. ### 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...
2. ### 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...
3. ### 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