Interactive calculator
PD and term structure
Calculate logistic probability of default and inspect cumulative-to-marginal PD, survival, and hazard by period.
PD inputs
The intercept plus the sum of feature contributions on the log-odds scale.
Term structure
| Year | Marginal PD | Survival | Hazard |
|---|---|---|---|
| 1 | 3.00% | 97.00% | 3.00% |
| 2 | 4.12% | 93.00% | 4.12% |
| 3 | 5.38% | 88.00% | 5.38% |
Calculation
One-observation logistic PD
PD = 1 / (1 + exp(−logit))
- Input logit: -3.5000.
- The stable logistic transform returns the probability for this model score.
- Cumulative PD inputs are converted into conditional marginal PD and survival by period.
0.029312
Educational illustration only. Check the model definition, portfolio data, model governance, and applicable accounting or regulatory requirements before operational use.