Credit Valuation: Default and Survival Probabilities
Interactive

Credit Valuation: Default and Survival Probabilities

Intuition Publishing Pty Ltd
Updated Sep 24, 2020

The credit triangle relates the credit spread to the probability of default (PD) and the recovery rate (RR). If two of the elements are known, the third element can be construed. Here we discuss default probabilities, types of credit option, terminology, standardization, and the OTC market.

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