# Questions tagged [default-probability]

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### CDS, default probability and bond price

When we calculate the implied default probabilities from CDS, can we use that information to price bonds? I am getting familiar with Fixed Income. I saw textbooks using implied default probabilities ...
1k views

### Deriving default probability from CDS spread via stripping

I am currently trying to derive the cumulative probability of default from a CDS spread where the LGD is 30% and there are quarterly premiums including the accrued premium. ...
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 ...
80 views

### Problem of PD estimation [closed]

Why is small number of defaults is a problem in case of PD estimation? What are the consequences? Can you recommend notes, books, etc about the topic?
84 views

### How exactly are correlated defaults used/analyzed?

I've read a lot about correlate defaults but I can't seem to understand how they're used practically in a portfolio theory setting. Suppose I have two (?) companies, X and Y, and historic default ...
30 views

### Estimation of Default Probability from Bond

Typically the formula to calculate the default probability from corporate Bond looks like $\frac{S}{1-R}$ where $S$ is the ...
52 views

### Longer / Shorter period loss

I am struggling on I think a quite simple issue. Let's take a portfolio of 100 loans. If we assume they are independent, each loan’s default is a Bernoulli with parameter $p=0.01$ over a certain time ...