rho

PD

0.109953
0.013439
Default Rate

1970
1971
1972
1973
1974
1975
1976
1977
1978
1979

Default
Rate (%)
1
9
2
3
5
1
6
7
4
1

Default
Rate
0.01
0.09
0.02
0.03
0.05
0.01
0.06
0.07
0.04
0.01

Likelihood
3.749989
-2.145766
2.808795
1.938272
0.408499
3.749989
-0.279736
-0.930551
1.143535
3.749989
14.19301

0
0.001
0.002
0.003
0.004
0.005
0.006
0.007
0.008
0.009
0.01
0.011
0.012
0.013
0.014
0.015
0.016
0.017
0.018
0.019
0.02
0.021
0.022
0.023
0.024
0.025
0.026
0.027
0.028
0.029
0.03
0.031
0.032
0.033
0.034
0.035
0.036
0.037
0.038
0.039
0.04

0.041
0.042
0.043
0.044
0.045
0.046
0.047
0.048
0.049
0.05
0.051
0.052
0.053
0.054

Probability
0
35.82954
56.90788
64.5532
65.57946
63.39096
59.70157
55.40124
50.95995
46.62473
42.52063
38.70478
35.19624
31.99293
29.08139
26.44249
24.05476
21.89628
19.94576
18.18315
16.58991
15.14906
13.84521
12.66448
11.59439
10.62376
9.742576
8.941874
8.213646
7.550734
6.946734
6.395918
5.893158
5.433862
5.013913
4.629616
4.277655
3.955048
3.659114
3.387437
3.13784

70
60
50
40
30
20
10
0
0

0.01

0.02

99.9% worst case default rate

0.103856

0.104

0.03
Default rate

0.04

0.05

2.90836
2.697223
2.502827
2.32372
2.158589
2.006244
1.865606
1.735692
1.615613
1.504558
1.401788
1.306631
1.218475
1.136759

0.04

0.05

0.06