FIXED-INCOME SECURITIES. Chapter 13 Modeling the Credit Spreads Dynamics. Outline. Analyzing Credit Spreads Ratings Probability of Default Severity of Default Modeling Credit Spreads Structural Models Reduced-Form Models Historical versus Risk-Adjusted Default Probabilities .
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Modeling the Credit Spreads Dynamics
EDF gives the probability of defaulting within the next year
EDF ranges from 0.02% to 20%