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We'll blame it on the mind melting heat of summer, but on July 22, we forgot to mention that we finished a significant upgrade to our bond default report. We're now calling it The QuantWolf Guide to Calculating Bond Default Probabilities.
This report has a new section on correlated bond defaults, as well as a formula reference at the start of each section, making it a bit more practical, so you don't have to wade through the derivations to find the formula you need. It covers both zero coupon and coupon bonds. Check out it's web page for more details.
© 2010-2012 Stefan Hollos and Richard Hollos
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