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.

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.
  • Probability of Default will not be available if dependencies are missing or if the service provider connected does not support the data types required. See supported data types for more details.


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.

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.