DEFINITION of 'Default Model'
A type of model used by financial institutions to determine the likelihood of a default on credit obligations by a corporation or sovereign entity. These statistical models often use regression analysis (analyzing changes to certain market variables that are pertinent to a company's financial situation) to identify credit risk.
INVESTOPEDIA EXPLAINS 'Default Model'
In most cases, when a default model is run, the result is given as the probability of default. However, other types of default models are used to predict a company's exposureatdefault and lossgivendefault. These models predominantly are used by credit rating agencies such as Moody's and Standard & Poor's (S&P).
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Credit Rating
An assessment of the credit worthiness of a borrower in general ... 
Default Probability
The degree of likelihood that the borrower of a loan or debt ... 
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Standard & Poor's  S&P
The world's leading index provider and the foremost source of ... 
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The chance that an investment's actual return will be different ... 
Merton Model
A model, named after the financial scholar Robert C. Merton, ...
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