Survival Function
From Open Risk Manual
Revision as of 13:51, 10 February 2021 by Wiki admin (talk | contribs)
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