Concepedia

Default Probability

Default Probability is a quantitative risk metric that represents the likelihood of a borrower failing to meet its debt obligations within a specified time horizon, distinguishing it from other credit risk measures by focusing specifically on the incidence of default events.

961

Publications

72K

Citations

1.6K

Authors

837

Institutions

Publications per year

2017–2026

163

Variants

PdProbability Of Default

Parents

Publications

961

ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*

Robert C. Merton · The Journal of Finance · 1974 · 11K citations · Full text

, , +16

Forecasting Default with the Merton Distance to Default Model

Sreedhar T. Bharath, Tyler Shumway · Review of Financial Studies · 2008 · 2.2K citations · Full text

, , +17

Default Risk in Equity Returns

Maria Vassalou, Yuhang Xing · The Journal of Finance · 2004 · 2K citations · Full text

, , +17

On Default Correlation

David X. Li · The Journal of Fixed Income · 2000 · 1.3K citations

, , +17

Multi-period corporate default prediction with stochastic covariates

Darrell Duffie, Leandro Saita, Ke Wang · Journal of Financial Economics · 2006 · 1K citations · Full text

, , +17

1–5 of 961

Authors

1.6K

  1. KG
    Kay Giesecke

    Stanford University, United States

    18 publications · 1.7K citations

    17

    h-index

  2. EI
    Edward I. Altman

    New York University, United States

    11 publications · 1.4K citations

    11

    h-index

  3. MJ
    Monique Jeanblanc

    Université d'Évry Val-d'Essonne, France

    12 publications · 682 citations

    11

    h-index

  4. DB
    Damiano Brigo

    Imperial College London, United Kingdom

    10 publications · 379 citations

    10

    h-index

  5. JA
    Jorge A. Chan‐Lau

    International Monetary Fund, United States

    9 publications · 229 citations

    9

    h-index

1–5 of 1.6K

Institutions

837

  1. National Bureau of Economic Research

    Cambridge, United States

    20 h-index

    37 publications

    2.4K citations

  2. Stanford University

    Stanford, United States

    20 h-index

    37 publications

    6.5K citations

  3. Columbia University

    New York, United States

    18 h-index

    32 publications

    5.9K citations

  4. Cornell University

    Ithaca, United States

    15 h-index

    19 publications

    2.6K citations

  5. University of Toronto

    Toronto, Canada

    15 h-index

    26 publications

    4K citations

  6. International Monetary Fund

    Washington D.C., United States

    14 h-index

    21 publications

    599 citations

  7. University of Michigan

    Ann Arbor, United States

    13 h-index

    15 publications

    5.9K citations

  8. New York University

    New York, United States

    13 h-index

    20 publications

    5K citations

1–8 of 837

Venues

  1. SSRN Electronic Journal

    Repository · 184 publications · 8.7K citations

    48

    h-index

  2. The Journal of Finance

    29 publications · 17K citations

    25

    h-index

  3. Journal of Banking & Finance

    26 publications · 1.7K citations

    20

    h-index

  4. The Journal of Fixed Income

    28 publications · 2.5K citations

    19

    h-index

  5. RePEc: Research Papers in Economics

    Repository · 32 publications · 830 citations

    17

    h-index

1–5