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Probability
Posted: December 5th, 2008, 9:59 am
by iwright218
If the conditional probability for 12 firms to defaults is 3% for all firms out to 5 years; does anyone know how to calculate the cumulative probability for all firms out to 5 years?ThanksI
Probability
Posted: December 6th, 2008, 9:50 am
by villiger
This depends on the correlation, or better the joint probability distribution. You haven't mentioned any assumption regarding to this. Typically they might be correlated with each other. You can model that nicely with copulas. But you need to define the dependence structure, ie which copula, and then you also need to estimate the parameters typical for the copula.
Probability
Posted: December 6th, 2008, 1:54 pm
by list
Conditional probability with respect to?