# Cumulative Default Rate

From Open Risk Manual

## Definition

The term **Cumulative Default Rate** is used in the context of multi-period credit risk analysis to denote the empirical (or modelled) default rate observed in a certain portfolio as it cumulates (aggregates) up to a final point in time.

The cumulative default rate up to time period k is denoted and can be considered as the integral (sum) of the Incremental Default Rate

## Formula

The cumulative default rate during period k, given an initial count of N_{0} and incremental default rate N_{t}^{D}

## See Also

- For the relationship with the Incremental Default Probability, see Probability of Default versus Default Rate