Should researchers use real-world or risk-neutral default probabilities for a) calculating credit value at risk and b)

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Should researchers use real-world or risk-neutral default probabilities for a) calculating credit value at risk and b) adjusting the price of a derivative for defaults?

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Options Futures and Other Derivatives

ISBN: 978-0134472089

10th edition

Authors: John C. Hull

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Question Posted: Feb 12, 2018 12:23 PM

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Should researchers use real-world or risk-neutral default probabilities for a) calculating credit value at risk and b)

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Options Futures and Other Derivatives

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