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Implied Default Probability Function 1.0

  Date Added: August 26, 2013  |  Visits: 241

Implied Default Probability Function

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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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