The Two-Parameter Formula of Default Probability Term Structure

Abstract

Importance This paper describes the existing methods of default probability term structure modeling and the disadvantages that limit their application. Objectives The paper aims to give an effective offer to lenders on the construction of a method of estimating the probability of default of a corporate borrower, taking into account the changed term to the end of the credit transaction, not contradicting the new IFRS 9 standard. I used and optimization of Results Using the consolidated empirical rating agencies, I a two-parameter formula of default probability term structure, which does not contradict the requirements of the international standard IFRS for the borrowers sector, that does not have enough internal to its calculation structure fitting The complex the assets, the