Entity Features (X)
Leverage (Debt/EBITDA)
3.5x
Weight: +0.85 (Increases PD)
Interest Coverage Ratio
4.0x
Weight: -0.45 (Decreases PD)
Operating Margin (%)
15.0%
Weight: -0.05 (Decreases PD)
Asset Tangibility (%)
40%
Drives Recovery Rate (Inverse of LGD)
Deterministic ML: Logistic Regression
The Probability of Default (PD) is calculated via a sigmoid activation applied to the linear combination of features and open weights:
z = β₀ + (β₁·Lev) + (β₂·ICR) + (β₃·Marg)
PD = 1 / (1 + e⁻ᶻ)
PD = 1 / (1 + e⁻ᶻ)
Open Weights Matrix (W)
Bias (β₀): -2.500
Leverage (β₁): +0.850
Coverage (β₂): -0.450
Margin (β₃): -0.050
Probability of Default (1Y)
4.52%
IMPLIED RATING: BB-
Loss Given Default (LGD)
60.0%
Recovery Rate: 40.0%
LGD = 1 - (Base Recovery + Tangibility Factor)