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Credit derivatives terminology

By Vinod Kothari

 

 

Default probability: Statistical estimate, based on different parameters, of the chances that an entity will default in meeting its obligations. Default probability is usually measured in fractions (or percentages), and runs from 0 (no probability of default) to 1 (certainty of default). If the default probability is 0.1 over the next 1 year, it implies a 10% chance of default, and 90% chance of survival.

 

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