I would calculate Probability of Default from Survival Probability. I want to know how they are related.

This is how I think they are related:

Survival Probability = 1-Default Probability.

Not sure whether the forumla is right. Tried searching in the net, but find the relationship. Need some guidance on how to calculate the probability of default from Survival Probability.

  • 1
    $\begingroup$ Yes, this looks correct. Make sure that both of the probabilities are referring to the same time period. $\endgroup$ – jaamor Jan 15 '15 at 19:59
  • $\begingroup$ Jammor, you should post your comment as an answer. $\endgroup$ – AfterWorkGuinness Nov 19 '15 at 14:36

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