Default Probability Calculator
Calculate the implied probability of default from credit spreads and recovery rate assumptions.
How to Use the Default Probability Calculator
- Enter the credit spread in basis points.
- Enter the expected recovery rate.
- Enter the maturity in years.
- Click Calculate.
Anwendungsfälle
- •Bond risk assessment
- •Credit pricing models
- •Portfolio credit risk management
Formel
Annual PD ≈ Credit Spread / (1 - Recovery Rate)
Häufig gestellte Fragen
What is default probability?
It is the likelihood that a borrower will fail to meet its debt obligations within a given time period.
How does recovery rate affect PD?
Lower recovery rates imply higher default probabilities for the same credit spread.
Is this calculator free?
Yes, all calculators are completely free.