I have been working on an assignment trying to calculate marginal/conditional probability of default. Using a logistic regression framework, I was able to compute the 12-month unconditional PD for each borrower for a duration of four years as shown in the image. For example 0.055 in the image refers to probability of default of borrower 1 during the period 2005 to 2006.
Could someone provide me an insight on how to convert this unconditional probability of default to conditional probability of default. i.e For example, probability of default between 2005 to 2006 given, the borrower has survived till 2005