Multiscale Analysis on the Pricing of Intensity-Based Defaultable Bonds

Table 1

Average cumulative default rates (%), 1983–2009 (source: Moody's).

Rating	Year 1	Year 2	Year 5	Year 7	Year 10	Year 15	Year 20
Aaa	0	0.016	0.086	0.182	0.187	0.187	0.187
Aa	0.024	0.066	0.247	0.318	0.408	0.989	2.583
A	0.057	0.187	0.806	1.297	2.099	3.521	6.536
Baa	0.196	0.543	2.027	3.130	4.815	8.719	12.603
Ba	1.209	3.434	11.444	15.600	21.128	30.467	38.152
B	4.550	10.519	26.24	35.054	44.982	57.136	65.493
Caa	15.383	26.969	50.339	57.783	71.993	82.434	86.669
Ca-C	36.207	48.440	70.176	74.757	78.014	78.014	—
All rated	1.761	3.620	8.046	9.991	12.100	14.990	18.002