forward-probability-of-default

  1. M

    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...
    • Merlinius
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    • cumulative-probability-of-default delaurentis forward-probability-of-default hazard-rate marginal-probability-of-default probability-of-default
    • Replies: 7
    • Forum: P2.T6. Credit Risk (25%)
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