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In this video, we will focus on the default time distribution. We will see the relationship between the cumulative and the marginal default rates and how these two probabilities change with time depending on the credit quality of the borrower.
The Python code is available at the following address: [ Ссылка ]
0:19 Default Event and Default Time
0:38 Cumulative Default Probability and Survival Probability
1:35 Default Time Distribution with Constant Default Intensity Model
3:02 Marginal Default Probability
3:53 Cumulative and Marginal Default Probabilities as a Function of the Credit Quality
4:38 Exercise in Python
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