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Ans=N(x)
DefaultProb=DefaultProbFuncti... % This function is to calculate the implied default probability from the %
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Implied Default Probability Function

01 Sep 2005 (Updated 01 Sep 2005)

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

File Information

Description

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)

MATLAB release

MATLAB 6.5 (R13)

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Everyone's Tags	analysis, finance, implied default probability the doc model brockman and turtle 20, modeling
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Comments and Ratings (4)
05 Sep 2005	Julia Liu	The code is very useful.
03 Oct 2005	Dimitri Shvorob	A basic four-line calculation, with a helper function approximating normal CDF - why not use Matlab's 'normcdf'?
03 Oct 2005	Dimitri Shvorob	Description can be improved: (a) the probability is risk-neutral, and (b) T is horizon, not life span, which of course does not have to be 10 years, as the comment for some reason says.
20 Oct 2005	dusty rusty	Check out riskydollar.com it gives risk neutral probabilities for public companies.

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Tag Activity for this File
Tag	Applied By	Date/Time
finance	David Wang	22 Oct 2008 07:59:15
modeling	David Wang	22 Oct 2008 07:59:15
analysis	David Wang	22 Oct 2008 07:59:15
implied default probability the doc model brockman and turtle 20	David Wang	22 Oct 2008 07:59:15