Probability of Default Time Structure

Student: Morenko Nina

Supervisor: Mikhail Vyacheslavovich Pomazanov

Educational Programme: Financial Markets and Financial Institutions (Master)

Final Grade: 10

Year of Graduation: 2017

This paper is devoted to the probability of default time structure of corporates. The problems of finding interpolation of default probabilities for an arbitrary, non-integer term, the annual probability of default for high-rating companies were solved, the methodology of transition from the probability of default for 1 year to the distribution of defaults by the terms was proposed. All methods have been verified against the cumulative probability of defaults data of Moody's, Standard & Poor's and Fitch rating agencies. Proposed methodology can be easily adapted to the internal ratings of a commercial organization for practical application.

Full text (added May 15, 2017)

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