Probability of Default

Description

Probability of Default estimates the likelihood that a company will fail to meet its debt obligations over the next six quarters (18 months) and this enter the state of default. The Probability of Default score is determined by a decentralized and independent network of machine learning models in conjunction with Synnax's proprietary dataset of historical defaults.

The scores are regularly updated using new data collected by Synnax, sourced quarterly from public and private company filings with market regulators, exchanges, and state company registrars.

A company's PD is calculated as a weighted average of the likelihood of each state (Default / Non-default), as determined by the machine learning models, and the historical PD associated with each state.