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CREDIT DEFAULT MODEL Definition & Legal Meaning

Definition & Citations:

An analytic model that is used to determine credit losses based on the probability a COUNTERPARTY will DEFAULT at a future time. A credit default model does not model losses attributable to credit deterioration (i.e., CREDIT SPREAD widening), it simply models default. See also CREDIT DEFAULT RISK, CREDIT MARKTO MARKET MODEL, INTENSITY MODEL, STRUCTURAL MODEL.


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