Difference between revisions of "Survival Function"
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Latest revision as of 13:51, 10 February 2021
Definition
The Survival Function in the context of a Risk Model is a function that captures the probability that a risk event (e.g. a Credit Event) will not happen within a specified time interval (may happen after)
Formula
where
- T is the time when an event materializes
- t parametrizes possible future times