Credit Spread → Default Probability Calculator
Back out the market-implied annual default probability from a credit spread and an assumed recovery rate.
Formula
The credit triangle (spread ≈ hazard × loss-given-default) is the quick desk model behind CDS quotes: 185 bp with 40% recovery implies ~3% annual default intensity. Market-implied PDs exceed historical default rates — the gap is the credit risk premium.
Not financial advice — for informational and analytical use only. Verify all figures with a qualified professional before acting on them.
Need credit spread → default probability calculator results fast? Analysts, founders, traders and finance professionals use the Credit Spread → Default Probability Calculator to skip the spreadsheet and get a defensible answer in one step — free, private and instant.
About Credit Spread → Default Probability Calculator
Back out the market-implied annual default probability from a credit spread and an assumed recovery rate. The credit triangle (spread ≈ hazard × loss-given-default) is the quick desk model behind CDS quotes: 185 bp with 40% recovery implies ~3% annual default intensity. Market-implied PDs exceed historical default rates — the gap is the credit risk premium. The governing relationship is λ ≈ s / (1 − R); PD₁ = 1 − e^(−λ). The Credit Spread → Default Probability Calculator computes entirely in your browser — free, private (your figures never leave your device) and instant, recalculating live as you change any input.
How to use Credit Spread → Default Probability Calculator
- 1Enter Credit spread (bp), Assumed recovery rate (%), Horizon (years) into the Credit Spread → Default Probability Calculator.
- 2The result is computed automatically using λ ≈ s / (1 − R); PD₁ = 1 − e^(−λ) — there is no button to press.
- 3Change any input to model a different scenario, then copy or share the result.
Why use Credit Spread → Default Probability Calculator?
- ✓Computes credit spread → default probability calculator instantly with the correct formula — no spreadsheet needed
- ✓100% free and unlimited, with no sign-up, login or paywall
- ✓Runs entirely in your browser, so the figures you enter stay private
- ✓Shows the formula, a live worked example and references so you can defend the number
Frequently asked questions
What is the formula behind the Credit Spread → Default Probability Calculator?+
Credit Spread → Default Probability Calculator uses λ ≈ s / (1 − R); PD₁ = 1 − e^(−λ). The credit triangle (spread ≈ hazard × loss-given-default) is the quick desk model behind CDS quotes: 185 bp with 40% recovery implies ~3% annual default intensity. The tool substitutes your actual inputs into this relationship and shows the worked example step by step.
What inputs does the Credit Spread → Default Probability Calculator need?+
Enter Credit spread (bp), Assumed recovery rate (%), Horizon (years) and the result updates immediately — there is no button to press. Change any value to model a different scenario in real time.
Is the Credit Spread → Default Probability Calculator free, and is my data private?+
Yes — it is completely free with no sign-up or usage limit, and it runs entirely in your browser, so the numbers you enter are never uploaded or stored on any server. It is for informational and analytical use, not financial advice.
What should I watch out for when using the Credit Spread → Default Probability Calculator?+
Market-implied PDs exceed historical default rates — the gap is the credit risk premium.
What is the Credit Spread → Default Probability Calculator based on?+
The method follows authoritative sources: Hull, Options, Futures and Other Derivatives — credit risk chapter; O'Kane, Modelling Single-name Credit Derivatives. The formula and references are shown on the page so you can verify and cite the result.
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