Therefore we have to take into account the survival probability, or the probability that the reference credit has not defaulted on the payment date. For instance, if the survival probability of the reference credit in the first 3 months is 95%
Therefore we have to take into account the survivalprobability, or the probability that the referencecredit has not defaulted on the paymentdate. For instance, if the survival probability ofthe reference credit in the first 3 months is 95%