probability-of-default

Hi, I was wondering how E[PD^2] = p = E[PD] holds true, is it by definition? Thanks in advance! I could not find a thread related to this when searching for one.

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...

@David Harper CFA FRM I completed my FRM Part 1 on may 18th, and I am glad to inform you that I have faired well in the exam all thanks to your material and question sets. I was just reading the notes on Economic capital in banks, and I was wondering how the probability of default is...

Hello Can anybody help to guide how to answer these questions? Thank you. Edited by Nicole to include questions (please include questions in text format instead of an attachment): 1 What is the probability that a firm rated A will default in 1 year? 2 What is the...