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Probability of default (PD) is a financial term describing the likelihood of a default over a particular time horizon. It provides an estimate of the likelihood that a borrower will be unable to meet its debt obligations.〔(Bankopedia:PD Definition )〕〔(FT Lexicon:Probability of default )〕 PD is used in a variety of credit analyses and risk management frameworks. Under Basel II, it is a key parameter used in the calculation of economic capital or regulatory capital for a banking institution. ==Overview== The probability of default is an estimate of the likelihood that the default event will occur. It applies to a particular assessment horizon, usually one year. Credit scores, such as FICO for consumers or bond ratings from S&P, Fitch or Moodys for corporations or governments, typically imply a certain probability of default. For group of obligors sharing similar credit risk characteristics such as a RMBS or pool of loans, a PD may be derived for a group of assets that is representative of the typical (average) obligor of the group.〔(Introduction:Issues in the credit risk modelling of retail markets )〕 In comparison, a PD for a bond or commercial loan, are typically determined for a single entity. Under Basel II, a default event on a debt obligation is said to have occurred if〔(Basel II Comprehensive Version, Pg 100 )〕 * it is unlikely that the obligor will be able to repay its debt to the bank without giving up any pledged collateral * the obligor is more than 90 days past due on a material credit obligation 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「probability of default」の詳細全文を読む スポンサード リンク
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