Menu

Risk-Neutral PDs and Default-Adjusted Cash Flows

January 8, 2014

In this paper, the author seeks to take some well-known methods of deriving market-implied PDs (risk-neutral PDs) and derive credit-adjusted cash flows using the path of these market-implied PDs. The adjusted cash flows can be used for valuation, as an alternative to using credit-adjusted discount curves.

BylawsCode of ConductPrivacy NoticeTerms of Use © 2022 Global Association of Risk Professionals