Implied Default Probability Function

Version 1.0.0.0 (973 Bytes) by David Wang
This function is to calculate the implied default probability from the DOC model.
3.3
(3)
2K Downloads
Updated 1 Sep 2005

No License

This function is to calculate the implied default probability from the DOC model. Source: Brockman and Turtle (2003).

<<<<< Function Output >>>>>

Default probability (%)

<<<<< Function Inputs >>>>>

[1] Barrier level (%)

[2] Market value of the firm's assets (%)

[3] Continuously compounded riskless rate of interest (%)

[4] Asset volatility (%)

[5] Firm's lifespan (years)

Cite As

David Wang (2026). Implied Default Probability Function (https://se.mathworks.com/matlabcentral/fileexchange/8414-implied-default-probability-function), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R13
Compatible with any release
Platform Compatibility
Windows macOS Linux
Tags Add Tags
Open in new tab
Version Published Release Notes
1.0.0.0