[二級信用風(fēng)險] Credit spreads are observable and when used in conjunction with observed discount rates on swaps and the presumed recovery rate the probability of default over the specific maturity can be inferred. The probability of default can in turn infer the hazard rate for the first period. Using the bootstrapped hazard rate from period l the second period hazard rate can be inferred using the same procedure with observable data corresponding to the longer maturity. 不是直接根據(jù)公式推導(dǎo)出來的嗎 和boot strap有什么關(guān)系

eleven11 發(fā)布于：2024-10-25 16:57:25 瀏覽17次   FRM FRM Part II
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鐘老師 發(fā)布于2024-10-27 21:56:13

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