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Calculate the Probility of Default

Thread starter #1

I need to your help for calculate the provision. I using the nex formula:

Provision=EaBD - (ΣCFnd + ΣCFd)


EaBD - Exposure at Balance Day
ΣCFnd - sum of cash flows before DP Defualt Point
ΣCFd - sum of cash flows after DP Default Point

But I need help for calculate the Default Point.

Thank you very much!