/


Measuring and managing market, credit and Op risk [112]

Go to: Summary | Previous | Next   
Bullet points include: The ‘hazard rate’ corresponding to F(tau) is: Chance of default in interval [tau , tau + d tau] is: So no information lost by specifying hazard rather than cdf, because can recover cumulative density function as follows (if no possibility of default reversal):

NAVIGATION LINKS
Contents | Prev | Next | ERM Lecture Series


Desktop view | Switch to Mobile