Vasicek Model for Credit Risk Capital (FRM Part 1 Valuation & Risk Models, FRM Part 2 Credit Risk)

[@agg_sj1075]

Could not find a better explanation than this on KZbin! Seriously amazing.

[@darwinkeswani53]

Not one of the but THE BEST explanation of this topic so far. Really commendable,sir.

[@finRGB]

Thank you for the appreciation, Darwin.

[@imad_uddin]

Exceptionally well thought out explanation. Thanks!

[@finRGB]

Thank you for the appreciation, Imad.

[@NayanSthanakiya]

Very nice step by step build up

[@ericdarcy]

The explanation is so clear. Thanks

[@finRGB]

Thks, Yang Shen. Glad that you found the video helpful.

[@anubhavpratik2767]

very nicely explained

[@hiteshyadav7514]

Thanks for explaining it so well !!

[@brucex407]

May I know why the threshold is still Ui* at step 5? Thanks

[@TheMagic0wnz]

Excellent explanation!

[@finRGB]

Thank you for the appreciation, Bob.

[@CP_cpd]

if we condition on F, where F = 0 , why do we not get back to PD(i)?

[@finRGB]

PD is the unconditional probability of default. You'll get it if you calculate the expectation (i.e. probability weighted average) of conditional probability of default (conditional on various chosen values of F).

[@vaish111]

Amazing!!

[@octaviobaraldo1593]

Amazing!!!!