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You have a three-year loan and your credit team tells you the chance of a default any time during those three years is 3.6%. What
- You have a three-year loan and your credit team tells you the chance of a default any time during those three years is 3.6%. What one-year default rate extended for three years would give you a 3.6% cumulative default rate? This is the same as annualizing a default rate, which is how most default rates are reported.
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