# Questions tagged [default-probability]

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### Portfolio - Default Probability

Suppose we want to identify the frequency of default on a portfolio with a 1000 loans. In the independence case, each firm’s default process follows a Bernoulli distribution with parameter $p = 0.01$. ...
325 views

### Quarterly Survival rate given there is a Quarterly Probability of Default

I am trying to calculate the Quarterly Marginal PD. I have calculated it as given in the below image but I am thinking about whether the Survival rate calculation is making sense or not. The ...
20 views

### Mapping bank credit score to PD

I currently work in a bank so I do have some of the required information that is my bank (internal) assigned credit score and the calculated probability of default for every company. My question is ...
29 views

### Default rate short majurity

What is the best way of measuring default rates for a portfolio which contains mostly loans which are either 30, 60 or 90 days term? Normally I use the following methodology Look at all loans which ...
48 views

### Why does Basel require Pooled PDs?

Since Basel II requires banks to utilize pooled PDs per rating grade / segment, I wonder why exactly. Via a logistic regression you can directly estimate an obligors PD, why the extra step to pool ...
108 views

### Beginner's resources on copulas and impact of correlation on loan defaults?

I'm hoping this question is not too banal or off-topic for this forum. Could you please help me understand / point me towards some resources on the impact of correlation on loan defaults? First ...
448 views

### How to convert PIT PD to TTC PD

I am currently trying to estimate TTC PDs from PIT PDs and I am looking for methods of conversion. I have a data set containing loans that defaultet or not. For each loan there is an application FICO ...
214 views

### Calculation of the Probability of Default

I am reading a book from Tiziano Bellini namely IFRS 9 and CECL Credit Risk Modelling and Validation, to understand the default probability calculation (link : https://www.sciencedirect.com/science/...
49 views

### Where can I find recent tables with the average cumulative default rates?

I'm mostly interested in Moody's average corporate cumulative default rates, possibly in 2020 or the latest version. I tried to take a look at Moody's website but I am still in trouble. The latest ...
70 views

### Generalized Linear Mixed Model (GLMM) for the probability of default of corporates

I work in the financial industry and we want to implement an internal rating model for our clients (think corporates large or mid , banks etc. some listed on an exchange some others not). We want to ...
166 views

### Survival probabilities starting from CDS spreads

How is that possible to get survival probabilities starting from CDS spread? Could you please provide me with a demonstration? What is more, is that true that CDS Zero type is necessary so as to get ...
20 views

### Variable transformation for probit regression model

I am trying to understand a credit rating model which is used in my company to assess company customers with large exposures. This model is provided by Moody's and assigns grades (similar to Aaa, Aa1, ...
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### Are Muni REVENUE bonds secured or can the local gov. use the revenues for other purposes not paying the bond holders if its going bankrupt? [closed]

Municipal bonds are of two kinds: GO (General Obligation) Bonds or Revenue Bonds. My question on Revenue Bonds is: are the revenues from the specific project secured or can the local government use ...
2k views

### From quoted spread and coupon to upfront, and vice versa : which recovery rates and when?

Echoing the following question : Markit recovery rates : assumed vs real I would like to have a confirmation on my understanding on the matter. Markit provides data for CDS, namely, for tenors ...
108 views

### Using transaction data to predict default of the customer

I am trying to build a prediction model that utilize the huge transaction database of all the customers of a bank. My dataset currently looks like this: ...
19k views

### Cumulative vs marginal probability of default

I understood the cumulative (aka unconditional) probability of default to be the probability of defaulting in a given period eg: between years 1 and 5. Further $\pi_{cumulative} = 1-e^{-\lambda*t}$ ...
Let $c(t,T):=-\frac{1}{T-t}[\mathrm{ln}(P_1(t,T))-\mathrm{ln}(P_0(t,T))]$, with: $c$ measure of how a company is prone to fail; $P_0(t,T):=e^{-r(T-t)}$ price of no-defaultable bond. \$P_1(t,T):=\...