Difference between revisions of "Survival Probability"
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Latest revision as of 13:58, 10 February 2021
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.
- In terms of the Incremental Default Probability we have where we denote with the incremental default probability during time
- In terms of the Marginal Default Probability we have where is the marginal default probability during period . The marginal default probability is also denoted the Hazard Rate
- In terms of the Cumulative Default Probability we have where is the cumulative default probability up to point