The following plot shows the default probability against the asset volatility for low and high leverage ratios. The leverage ratio is used to divide the points into two groups, depending on whether the leverage ratio is greater or smaller than a cut off value. In this example, a cut off value of 1 works well.For low leverage, the probability of default is essentially zero, independently of the asset volatilities. For high leverage situations, such as the end of the time window, the probability of default is highly correlated with the asset volatility.