Implied Default Probability Function 1.0

Date Added: August 26, 2013 | Visits: 424

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This function is to calculate the implied default probability from the DOC model. Source: Brockman and Turtle (2003).>Default probability (%)>[1] Barrier level (%)[2] Market value of the firm's assets (%)[3] Continuously compounded riskless rate of interest (%)[4] Asset volatility (%)[5] Firm's lifespan (years)

Requirements: No special requirements

Platforms: Matlab

Keyword: Asset, Assets, Barrier, Compounded, Continuously, Default, Firm, Gtgtgtgtgt, Interest, Level, Lifespan, Market, Model, Probability, Riskless, Source, Volatility, Years

Users rating: 0/10

License: Shareware

Size: 10 KB

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