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"probability of default" is a correct and usable term in written English.
It is often used in the context of finance or insurance to refer to the likelihood that a borrower will fail to pay back a loan. For example, "The bank evaluated the probability of default on the loan in order to determine whether to approve the applicant's request."
Exact(60)
"What is the probability of default?
The probability of default on Treasury is zero.
The credit spread reflects the probability of default.
Informational rents are associated with the probability of default.
"It should directly map into probability of default," he said.
In an improving market, the probability of default falls.
A rating is simply an estimate of the probability of default.
The markets had anticipated a high probability of default for months, he said.
Philadelphia's lower bond rating still signifies a low probability of default.
As a result, the market leverage of the companies has grown rapidly and so has their probability of default".
There's an expected, there's a probability of default, there's a loss given default, and there's recovery.
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Since I tried Ludwig back in 2017, I have been constantly using it in both editing and translation. Ever since, I suggest it to my translators at ProSciEditing.

Justyna Jupowicz-Kozak
CEO of Professional Science Editing for Scientists @ prosciediting.com