distance of default

Finance Junkie
Posts: 89
Joined: Sat Sep 22, 2012 12:35 pm

distance of default

Postby AMITAG1990 » Sat Nov 03, 2012 11:27 am

In a question it is given that,
if credit you are considering has no systematic risk , In merton model, distance of default and EDF(expexted default frequency) are -vly and non linearly related.

bold word is a answer.

Please explain the concept and also tell me What is distance of default (KMV model) and how to calculate it.??


Finance Junkie
Posts: 356
Joined: Wed Apr 11, 2012 11:26 am

Re: distance of default

Postby content.pristine » Tue Nov 06, 2012 1:31 pm

Hi Amit,

This question is from FRM-II Default Risk: Quantitative Methodologies.
Right now, we no longer offer this course.
However, I will try to get this answered by one of the faculties. :D
This may take time..


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