probability of default

Indeed, a credit rating is simply a probability of default.

The markets had anticipated a high probability of default for months, he said.

There are many alternatives for estimating the probability of default.

Higher grades - at least in theory - represent a lower probability of default.

A rating is simply an estimate of the probability of default.

This leads to a raised probability of default ex ante.

"But the closer we come to the end of the month, the greater the probability of default becomes.

The probability of default on Treasury is zero.

Some of these techniques are superior to others in directly estimating the probability of default.

This score ranks clients by riskiness without explicitly identifying their probability of default.

The funds the bank raises by issuing notes to investors are invested in bonds with low probability of default.

The lender may consider a variety of factors in assessing the probability of default.

A rating system typically assigns a borrower to a particular grade based on their probability of default.

A typical corporate bond is rated based on its probability of default due to the issuer going into bankruptcy.

"What is the probability of default?

As a result, the market leverage of the companies has grown rapidly and so has their probability of default."

Basel-II benefits customers with lower probability of default.

This model can be used to predict probability of default for new clients using the same observation characteristics (e.g. age, income, house owner).

"probability of default of a borrower"

Traditionally, AAA rated securities had less than a 1% probability of default.

However, studies focusing on probabilities of default tend to overlook the ripper effect caused by the failing of a large institution.

Two years after the development of the structural credit model, Robert Merton modeled bankruptcy as a continuous probability of default.

The probability of default for a given debt-to-GNP level is increasing with the number of past defaults.

Probability of default, used in finance (Basel II)

The reason is that lower-quality bonds are more vulnerable to recessions than their high-quality counterparts because the probability of defaults rises as the economy sours.