Implied Default Probability Function

This function is to calculate the implied default probability from the DOC model.

This function is to calculate the implied default probability from the DOC model. Source: Brockman and Turtle (2003).

<<<<< Function Output >>>>>

Default probability (%)

<<<<< Function Inputs >>>>>

[1] Barrier level (%)

[2] Market value of the firm's assets (%)

[3] Continuously compounded riskless rate of interest (%)

[4] Asset volatility (%)

[5] Firm's lifespan (years)