The Basic Curve The basic probability curve looks like an anthill. Here, the X axis represents potential outcomes from worst to best, going left to right. The Y axis represents the probability of ...

I've delved into this topic a few times without further elaboration, so I thought I'd spend time today trying (and most likely failing) to make what may be a fairly esoteric point. It is this: Not ...

Three different methods of bootstrapping default probability curves from par credit default swap spreads are discussed. The first assumes that the default densities are constant between consecutive ...