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Chapter 12, Book 2, Question 11.6

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
 
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