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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