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 />
◮ The cumulative default probability is the complement <strong>of</strong> the survival<br />
probability<br />
Fi(m) = 1 − Si(m)<br />
◮ which is the cumulative default probability from t + τi to t + τm, and<br />
obviously<br />
Fi−1(i) = pi<br />
Chair for Banking and Finance Winter term 2009 Slide 12
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