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David Wang

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01 Sep 2005 Implied Default Probability Function This function is to calculate the implied default probability from the DOC model. Author: David Wang finance, modeling, analysis, implied default proba... 4 4
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20 Oct 2005 Implied Default Probability Function This function is to calculate the implied default probability from the DOC model. Author: David Wang rusty, dusty

Check out riskydollar.com it gives risk neutral probabilities for public companies.

03 Oct 2005 Implied Default Probability Function This function is to calculate the implied default probability from the DOC model. Author: David Wang Shvorob, Dimitri

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.

03 Oct 2005 Implied Default Probability Function This function is to calculate the implied default probability from the DOC model. Author: David Wang Shvorob, Dimitri

A basic four-line calculation, with a helper function approximating normal CDF - why not use Matlab's 'normcdf'?
05 Sep 2005 Implied Default Probability Function This function is to calculate the implied default probability from the DOC model. Author: David Wang Liu, Julia

The code is very useful.
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analysis, finance, implied default probability the doc model brockman and turtle 20, modeling
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Updated   File Tags Downloads
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01 Sep 2005 Implied Default Probability Function This function is to calculate the implied default probability from the DOC model. Author: David Wang finance, modeling, analysis, implied default proba... 4 4
  • 3.33333
3.3 | 4 ratings

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