Cumulative probability of default on risky bond

[@rediromasuperstar]

Actually i'm preparing a public selection as a financial statistician at the bank of italy.
I find this exercise very helpful indeed! Thanks a lot bionic turtle!

[@matteogiaretta3557]

is this hull white 2000 methodology?

[@test-mm7bv]

how about just using 2yr spot rates?
1.05/1.07=0.9813
(0.9813)^2=0.9630
1-0.9630=0.0370, like the answer in the video?

[@roycons]

very intuitive presentation...

[@andreamanuelcova2307]

You assumed a LGD equal to 1. In general the formula should include the LGD parameter

[@divyaalok5538]

Awesome

[@fantasticearth3814]

is treasury means government bond yield

[@divyaalok5538]

जय ‌श्री राम

[@arindambandyopadhyay3896]

Anthony Saunders and Cornett book on Financial Institution Management