Hi David,
here is your quote:
"Altman’s Z is the most famous type of linear discriminant model: borrowers are classified into high or low default risk categories. It does not directly give a probability of default (PD), although we can map to the > score to a credit rating and map the rating to a PD (so there is an indirect path from the score to the PD)"
do you have any hints which shows the way how to go from z score to PD
many thanks
siamaka
here is your quote:
"Altman’s Z is the most famous type of linear discriminant model: borrowers are classified into high or low default risk categories. It does not directly give a probability of default (PD), although we can map to the > score to a credit rating and map the rating to a PD (so there is an indirect path from the score to the PD)"
do you have any hints which shows the way how to go from z score to PD
many thanks
siamaka