hazard-rate

  1. Nicole Seaman

    P1.T4.24.10 Default Probabilities and Hazard Rates in Credit Risk Assessment

    Learning Objectives: Define conditional and unconditional default probabilities and explain the distinction between the two. Define and use the hazard rate to calculate unconditional default probability of a credit asset. Questions: 24.10.1. According to the 2018 Annual Global Corporate...
    • Nicole Seaman
    • Thread
    • conditional-default-probabilities credit-assets credit-risk-assessment default-probability hazard-rate unconditional-default-probabilities
    • Replies: 0
    • Forum: FRM® Practice Questions
  2. 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
    • Thread
    • 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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