Difference between revisions of "Cumulative Default Probability"
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== Definition == | == Definition == | ||
− | The term '''Cumulative Default Probability''' is used in the context of multi-period | + | The term '''Cumulative Default Probability''' is used in the context of multi-period [[Credit Risk]] analysis to denote the likelihood that a [[Legal Entity]] is observed to have experienced a defined [[Credit Event]] ''up to a particular timepoint''. |
− | The cumulative default probability can be considered as the primary representation of the [[Credit Curve]] as a set of non-decreasing probabilities <math>q_k</math> | + | == Notation == |
+ | The cumulative default probability can be considered as the primary representation of the [[Credit Curve]] as a set of non-decreasing probabilities <math>q_k</math>. | ||
== Relationships with related measures == | == Relationships with related measures == |
Latest revision as of 11:27, 31 March 2021
Definition
The term Cumulative Default Probability is used in the context of multi-period Credit Risk analysis to denote the likelihood that a Legal Entity is observed to have experienced a defined Credit Event up to a particular timepoint.
Notation
The cumulative default probability can be considered as the primary representation of the Credit Curve as a set of non-decreasing probabilities .
- 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 Survival Probability we have where is the survival probability up to point