Probability of Default

The Probability of Default Object

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.

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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.

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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.

FieldTypeDescription
markovPDdecimalProbability of default computed based on payables/receivables days past due using rolling rate with markov chain.
mertonPDdecimalProbability of default computed based on balance sheet default using a valuation-centric approach to calculating default based on merton model.
wilcoxPDdecimalProbability of default computed based on cashflow view using wiclox model.
altmanZScorePDdecimalProbability of default computed based on insolvency of a business using the Altman Z Score.
aggregatePDdecimalProbability of default computed based on a weighted average of all PD models.