Probability of Default CalculatorA software that estimates probabilities of defaults | |
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Probability of Default Calculator Ranking & Summary
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- License:
- Free to try
- Price:
- $25.00
- Publisher Name:
- AdvMathAppl | more software
- Operating Systems:
- Windows
- File Size:
- 109 KB
Probability of Default Calculator Tags
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Probability of Default Calculator Description
Probability of Default Calculator helps estimating probabilities of defaults according to Basel II requirements. Probability of Default Calculator is using five-year historical data on frequencies of defaults for different risk classes, sub-classes, and portfolios. Probability of default (PD) is a parameter used in the calculation of economic capital or regulatory capital under Basel II for a banking institution. This is an attribute of a bank's client. The probability of default (also call Expected default frequency) is the likelihood that a loan will not be repaid and will fall into default. PD is calculated for each client who has a loan (for wholesale banking) or for a portfolio of clients with similar attributes (for retail banking). The credit history of the counterparty / portfolio and nature of the investment are taken into account to calculate the PD.
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