Cumulative Default Probability

From Open Risk Manual

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 q_k.

Relationships with related measures