Anyone know how they get to the simple approximation? I'm not sure if I'm being to dense, but the logic in the book is "well the 2% spread is for the probability for default, now just divide that by 1-recovery rate and that is the average intensity". I'm missing how we move from saying the 2% is for the probability of default to linking it to the intensity instead.
Hull Chapter 23 - Simple approximation
0 commentaires:
Enregistrer un commentaire