S*******s
发帖数: 13043 | 1 from PD, the way to calcuate conditional EL is :
LGD * N( (N-1(PD) + rho*N-1(1-0.1%))/(1-rho^2)^0.5 )
where N is cdf of standard normal, N-1 is inverse cdf of standard normal.
I can not figure out the reasoning.
let a=N-1(PD), b=N-1(1-0.1%), c = (N-1(PD) + rho*N-1(1-0.1%))/(1-rho^2)^0.5,
we can see (1-rho^2)^0.5*c-rho*b =a.
what does it try to capture? |
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