Simulating Probability of Default

Overview


Default is a zero-one event. That is, default either happens or it doesnt. Given this simple framework, simulating default requires simulating a 1 with a given probability and a zero otherwise.

However, some models (mixture models) take the probability itself as being a random variable. This can occur if the probability of default changes over time or with the economy.

Default Distribution



There are generally two distributions that are used to simulate default.

  • Bernoulli Distribution
  • Poisson Distribution