In general, the possibility that a company will be unable to make the interest and principal payments due on its outstanding debt within a certain period of time – usually twelve months. – A parameter to be determined within the framework of the internal rating according to Basel II, which provides information on the possible loss of a granted loan. – See accelerator, financial, default, backtesting, Herfindahl-Hirschman index, internal ratings-based approach, calibration, credit risk, rating, rating steps, leverage ratio, risk profile, debt, non-performing, discriminatory power, validation, value at risk, loss, unexpected, loss rate, leverage ratio, cyclicality. – Cf. Deutsche Bundesbank Monthly Report of April 2001, p. 24, of September 2003, p. 63 ff. (methodological), ECB Monthly Report of May 2001, p. 68, ECB Monthly Report of August 2002, p. 67, BaFin Annual Report 2003, p. 37 f., ECB Monthly Report of January 2005, p. 56 f., Deutsche Bundesbank Monthly Report of March 2005, p. 19 f. (cyclicality), ECB Monthly Report of November 2006, p. 43 (probability of default for nonfinancial corporations in connection with yield spreads).
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