A New Default Probability Calculation Formula and Its Application under Uncertain Environments

Table 1

The parameter configuration.

parameter classification	parameter name	parameter configuration
time parameter	expiration date T	at present, the largest trading volume of CDS contract is 5 years, therefore, hypothesize that T=5.
discount parameter	interest rate r	r employs the period counting rates or yields, suppose that r=7%.
default parameter	recovery rate	for the convenience of analysis, assume that .