How is the 2nd-to-default different from FTD?

2nd-to-default protection activates only after the first default has already occurred. It has lower premium than FTD but provides additional leverage on default correlation.

How is the nth-to-default probability computed analytically?

For independent names: P(N defaults by T) = C(n,N) * p^N * (1-p)^(n-N), where p is individual PD. With correlation, use copula simulation or factor model to compute the joint distribution.

Nth-to-Default Probability Calculator

Calculate the probability that exactly N names default in a basket by time T. Uses inclusion-exclusion for small baskets or Monte Carlo copula simulation for larger portfolios.

Principal ($)

Annual Rate (%)

Years

Compounding / Year

$ Finance Disclaimer: These calculators are for educational and illustrative purposes only. Results do not constitute financial advice. Consult a licensed financial advisor before making investment or borrowing decisions.

How to Use

Enter the values for the scenario you are assessing. Calculate the probability that exactly N names default in a basket by time T. Uses inclusion-exclusion for small baskets or Monte Carlo copula simulation for larger portfolios. Use the nth-to-default prob result to inform your calculation.

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Frequently Asked Questions

How is the 2nd-to-default different from FTD?

How is the nth-to-default probability computed analytically?