The probability of default for a certain time period, provided that no earlier default has occurred up to that point. More specifically, default intensity constitutes the rate of default at any time assuming that a borrower (obligor) has not defaulted over the span of a certain period.

Default intensity is also known as a hazard rate, an instantaneous failure rate, or an instantaneous forward rate of default. However, the term “default intensity” is used more widely in the context of probability/ stochastic models, while the hazard rate is used more widely in the context of statistical and survival analysis.