The default rates in the last 15 years for a certain category of loans is 2%, 4%, 7%, 12%, 6%, 5%, 8%, 14%, 10%, 2%, 3%, 2%, 6%, 7%, 9%. Use the maximum likelihood method to calculate the best fit values of the parameters in Vasicek’s model. What is the probability distribution of the default rate?

What is the 99.9% worst-case default rate?

AppendixLO1