Basics of Credit Risk - Universität Hohenheim
Basics of Credit Risk - Universität Hohenheim
Basics of Credit Risk - Universität Hohenheim
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Investment Banking and Capital Markets – <strong>Universität</strong> <strong>Hohenheim</strong><br />
Investment Banking and Capital Markets<br />
A Multi-Step Model for Zero Coupon Bonds<br />
◮ Generalisation <strong>of</strong> the above<br />
◮ equidistant points in time τi with i = 1, . . . , n<br />
◮ pi is the PD between τi−1 and τi (if it has not defaulted before)<br />
◮ V risky<br />
i (m) indicates the value <strong>of</strong> a claim at time τi that runs until τm<br />
◮ and the survival rate<br />
S(m) =<br />
◮ note that S(m) = S(m − 1)(1 − pm)<br />
mY<br />
(1 − pi)<br />
Chair for Banking and Finance Winter term 2009 Slide 10<br />
i=1
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