Hi everybody,

Im currently a student in Financial Engineering and one of my subject is called "Rating". During the class, we had a set of data: 4000 companies, 1 dummy variable (representing the solvability of the company at the end of the period) and 6 explicative variables for each company. We tried thanks to the logit regression and the newton raphson method to estimate the probability of default.

Now i am trying to guess what we ll have at the exam and after reading a lot on the topic, I think we could be asked to estimate the same probability of default with the probit regression!

How could i compute such a probit function?

For example, if it might help you, the logit function is as follow:

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Except changing the lambda, how can we deal with the Log in the end?

THANKS a lot!!! because i think it's really hard...