Probability of Default Regression Model Calculator

✖A Linear Combination is a mathematical operation that involves multiplying each element in a set of numbers (or vectors) by a constant and then summing the results.ⓘ Linear Combination [z]

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✖Probability of Default is a financial term used to measure the likelihood that a borrower will default on their debt obligations within a specific time frame.ⓘ Probability of Default Regression Model [PD]

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Formula

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Probability of Default Regression Model

Formula

`"PD" = 1/(1+exp(-"z"))`

Example

`"0.507499"=1/(1+exp(-"0.03"))`

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Probability of Default Regression Model Solution

STEP 0: Pre-Calculation Summary

Formula Used

Probability of Default = 1/(1+exp(-Linear Combination))
PD = 1/(1+exp(-z))
This formula uses 1 Functions, 2 Variables

Functions Used

exp - n an exponential function, the value of the function changes by a constant factor for every unit change in the independent variable., exp(Number)

Variables Used

Probability of Default - Probability of Default is a financial term used to measure the likelihood that a borrower will default on their debt obligations within a specific time frame.
Linear Combination - A Linear Combination is a mathematical operation that involves multiplying each element in a set of numbers (or vectors) by a constant and then summing the results.

STEP 1: Convert Input(s) to Base Unit

Linear Combination: 0.03 --> No Conversion Required

STEP 2: Evaluate Formula

Substituting Input Values in Formula

PD = 1/(1+exp(-z)) --> 1/(1+exp(-0.03))

Evaluating ... ...

PD = 0.50749943755062

STEP 3: Convert Result to Output's Unit

0.50749943755062 --> No Conversion Required

FINAL ANSWER

0.50749943755062 ≈ 0.507499 <-- Probability of Default

(Calculation completed in 00.020 seconds)

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Created by Kashish Arora

Satyawati College (DU), New Delhi

Kashish Arora has created this Calculator and 50+ more calculators!

Verified by Vishnu K

BMS College of Engineering (BMSCE), Bangalore

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Upside/Downside Ratio

Go Upside/Downside Ratio = Advancing Issues/Declining Issues

Credit Spread

Go Credit Spread = Corporate Bond Yield-Treasury Bond Yield

Probability of Default Regression Model

Go Probability of Default = 1/(1+exp(-Linear Combination))

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Go Default Risk Premium = Interest Rate-Risk Free Rate

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Loss Given Default

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Probability of Default Regression Model Formula

Probability of Default = 1/(1+exp(-Linear Combination))
PD = 1/(1+exp(-z))

What is Probability of Default?

The Probability of Default measures the likelihood of a borrower defaulting on debt obligations within a specific timeframe. It is an essential tool for credit risk assessment and management. It helps lenders make informed decisions, set risk-based pricing, and allocate capital reserves.

How to Calculate Probability of Default Regression Model?

Probability of Default Regression Model calculator uses Probability of Default = 1/(1+exp(-Linear Combination)) to calculate the Probability of Default, The Probability of Default Regression Model formula is a statistical technique for estimating probability. It explains the relationship between the borrower’s characteristics and the likelihood of default. Probability of Default is denoted by PD symbol.

How to calculate Probability of Default Regression Model using this online calculator? To use this online calculator for Probability of Default Regression Model, enter Linear Combination (z) and hit the calculate button. Here is how the Probability of Default Regression Model calculation can be explained with given input values -> 0.509999 = 1/(1+exp(-0.03)).

FAQ

What is Probability of Default Regression Model?

The Probability of Default Regression Model formula is a statistical technique for estimating probability. It explains the relationship between the borrower’s characteristics and the likelihood of default and is represented as PD = 1/(1+exp(-z)) or Probability of Default = 1/(1+exp(-Linear Combination)). A Linear Combination is a mathematical operation that involves multiplying each element in a set of numbers (or vectors) by a constant and then summing the results.

How to calculate Probability of Default Regression Model?

The Probability of Default Regression Model formula is a statistical technique for estimating probability. It explains the relationship between the borrower’s characteristics and the likelihood of default is calculated using Probability of Default = 1/(1+exp(-Linear Combination)). To calculate Probability of Default Regression Model, you need Linear Combination (z). With our tool, you need to enter the respective value for Linear Combination and hit the calculate button. You can also select the units (if any) for Input(s) and the Output as well.

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