Search results with tag "Probability of default curve calibration"

The art of probability-of-default curve calibration - arXiv

The art of probability-of-default curve calibration Dirk Tasche First version: December 15, 2012 This version: November 26, 2013 PD curve calibration refers to the transformation of a …

  Calibration, Default, Probability, Curves, Probability of default curve calibration