Credit Curve denotes a grouping of credit risk metrics (parameters) that provide estimates that a legal entity experiences a Credit Event over different (an increasing sequence of longer) time periods
The credit curve (default curve) at timepoint is the collection of credit default expectation probabilities at the various future timepoints.
- A credit curve is a type of Term Structure.
- It may refer purely to the likelihood of a default or incorporate also a loss estimate
- It may be empirical (historical) in nature or derived from models and/or market data