be used both in the context of PD as well as rating system. In the context of PD, the stressed PD defined above usually denotes the TTC PD of an obligor whereas the unstressed PD denotes the PIT PD. In the context of rating systems, a PIT rating system assigns each obligor to a bucket such that all obligors in a bucket share similar unstressed PDs while all obligors in a risk bucket assigned by a TTC rating system share similar stressed PDs.

Credit default swap-implied (CDS-implied) probabilities of default are based upon the market prices