September 2022
Beginner
560 pages
17h 36m
English
Proposition: If the hazard rate is constant at
, then the cumulative survival probability to time
,
, is
, and the cumulative default probability,
, is
.
Proof: The probability of no default to time
,
, is the probability that there is no default to time
and no default from then to time
. Mathematically,
Taking the limit of the right‐hand side of (A14.2) as approaches zero ...