Homogenous Credit Model
Overview
In the homogenous Vasicek model, all loans in a portfolio are drawn from a single default distribution.
Estimation of Probabilities
- Probability of Single Default
- estimating the probability of default based on history of a loan.
- Probability of Joint Default
- estimating the probability of two loans defaulting in the same period. The probability of
joint default together with the probability of a single loan defaulting implies the default correlation.
Homogenous Model Desktop