Expected Default Frequency

Views Updated: Dec 15, 2025

Key Facts

Abbreviation
EDF
Pronunciation
/ɪkˈspɛktɪd dɪˈfɔlt ˈfrikwənsi/
Category
Business
Related Field
Accounting

Examples in Context

  1. Second, the Distance-to-Default and the Expected Default Frequency(EDF) which can be calculated by the KMV model have a good reaction in the credit status of the listed companies.
  2. And in light of credit risk, there are accounting-based ratio measurement method and volatility - based measurement method, as well as the related concepts, such as Credit Rating, Z-score, Transition Matrix, Expected Default Frequency(EDF).
  3. Since Expected Default Frequency(EDF) model ( KMV ) includes not only financial information but also market price information, it can reflect credit quality of listed company completely, and it is suitable for evaluating the credit risk of listed company especially.
  4. The KMV Model, which is based on Merton ′ s option pricing theory, is applied to get the expected default frequency and default loss of the loan. In this way, the bank can reasonably decide the interest.
  5. KMV model makes use of the fluctuation of stock prices to assess the credit risk of open corporations, and its main analyzing vehicle is the so-called Expected Default Frequency(EDF) ( EDF ).

Other meanings of EDF

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