The number " z " follows from the cumulative distribution function, in this case the cumulative normal distribution function:
2.
Another commonly applied model is the probit model where F is the cumulative normal distribution function, \ lambda = 0 and e follows a binomial distribution.
3.
The unit transformation typically involves the application of the inverse-normal distribution function, thereby converting measures of median or average PDs into measures of median or average default distance ( DD ).
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