Probability of Default

Overview

From the Probability of Default endpoint, you can retrieve a business's point in time probability of default based on financial forecast projections for a business. See Probability of Default endpoint for more details.

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Data Dependencies

Probability of Default is created for the monthly timeframe only. Thus, its sources are the monthly financial forecasts that have the same start date as the credit score & rating.

Data Model

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All probability of defaults objects are part of an array of reports. See Reports data type for more details on the report structure and its meta-data.

Field

Type

Description

markovPD

decimal

Probability of default computed based on payables/receivables days past due using rolling rate with markov chain.

mertonPD

decimal

Probability of default computed based on balance sheet default using a valuation-centric approach to calculating default based on merton model.

wilcoxPD

decimal

Probability of default computed based on cashflow view using wiclox model.

altmanZScorePD

decimal

Probability of default computed based on insolvency of a business using the Altman Z Score.

aggregatePD

decimal

Probability of default computed based on a weighted average of all PD models.

Example Data

{
  "data":
  {
    "markovPD": 0.659176337,
    "mertonPD": 0.659176337,
    "wilcoxPD": 0.659176337,
    "altmanZScorePD": 0.659176337,
    "aggregatePD": 0.659176337
  }
}

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