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GET/api/1/fixed-income/default-probabilities

Implied Default Probabilities API

Derives market-implied default probabilities from ICE BofA option-adjusted credit spreads (investment grade, BBB, high yield) using a constant hazard-rate model. Cumulative default probability at horizon t equals 1 - exp(-spread / (1 - recovery) * t)

Defaults

recovery=0.4

Parameters

Required first. Documented defaults are selected — Test Request matches a bare call.

1
recoverynumberdefault 0.4
query

Assumed recovery rate 0-0.9 (default 0.4)

Default 0.4

Responses

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Request
curl -X GET \
  'https://api.eulerpool.com/api/1/fixed-income/default-probabilities?recovery=0.4' \
  -H 'Accept: application/json'
200 Response
{}