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.
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. |