Difference between revisions of "Cumulative Default Probability"

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Revision as of 17:51, 5 June 2019

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 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 q_k

Relationships with related measures