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question on o'kane paper regarding CDS pricing

econtse

Joined
8/5/10
Messages
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I'm reading o'kane & turnbull (2003) on valuation of cds. well, it might be too simple to you guys but I still dont understand how can they defined default probability for a given period, say t(n-1) -> tn as survival prob of (n-1) minus survival prob of n.

Hull & White defined it as the ref. entity survived till t and then default in dt > t.
So, shouldn't it be survival prob of (n-1) * default prob. at (t)?
 
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