Resource title

A note on the survival probability in CreditGrades

Resource image

image for OpenScout resource :: A note on the survival probability in CreditGrades

Resource description

This paper examines survival probability in the CreditGrades model. We find that the exact closed-form formula stated in Finger et al (2002) for the survival probability of a firm is incorrect. We correct the formula and compare the exact survival probability with the frequently used approximation. We find that there are circumstances in which these two formulas differ significantly. This is in particular the case if one considers highly leveraged companies such as banks.

Resource author

Resource publisher

Resource publish date

Resource language

en

Resource content type

Resource resource URL

http://eprints.lse.ac.uk/37619/

Resource license