# Questions tagged [default-probability]

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### How to compute the implied probability of default from a CDS spread?

I have two tasks: Given country's CDS spread draw implied probability of default. Given probability of default calculate CDS spread. If possible, refer to any papers.
3k views

### Interest rate implied probability of default

Is there an equation or rule of thumb to determine the probility of default for a loan with a specific interest rate? Let's say, a bank offers a company a loan with an interest rate of 6%, by which ...
137 views

### Pricing homogeneous Basket Default Swap

Consider a basket with $K=10$ names. Default times of the names, $\tau_k$, are i.i.d. random variables with distribution $P(\tau_k \leq t) = 1 - e^{-\lambda t}$. Suppose that each name in the basket ...
114 views

### Simplifying an expectation function of default time and rates

I have the following expectation to calculate : $$\mathbf{E}\left[ e^{\int_{t_0}^{\tau} r_s ds} \mathbf{1}_{\{\tau < T\}}\right]$$ More precisely, I want to show that :  \mathbf{E}\left[ e^{\...
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