In GARP book1, Chapter 10, page 176
It was required to get Joint Default Probability for both B & Caa.
I tried this equation 1 but doesn’t work
It returns 5.755% while it’s 3.44% in GARP book
In GARP book1, Chapter 10, page 176
It was required to get Joint Default Probability for both B & Caa.
I tried this equation 1 but doesn’t work
It returns 5.755% while it’s 3.44% in GARP book