Survival Probability

Definition

Survival Probability, in the context of multi-period credit risk analysis using a Credit Curve, denotes the likelihood that a legal entity does not experience a Credit Event during a defined period of time.

Relationships with related measures

• In terms of the Incremental Default Probability we have $S_{T}=1-\sum _{k=1}^{T}{p_{k}}$ where we denote with $p_{k}$ the incremental default probability during time $[t_{k-1},t_{k}]$
• In terms of the Marginal Default Probability we have $q_{k}=\prod _{k=1}^{T}(1-h_{k})$ where $h_{k}$ is the marginal default probability during period $[t_{k-1},t_{k}]$. The marginal default probability is also denoted the Hazard Rate
• In terms of the Cumulative Default Probability we have $S_{k}=1-q_{k}$ where $q_{k}$ is the cumulative default probability up to point $t_{k}$

See Also

• Survival Function

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