Research Article
Mathematical Modeling of Concentration Risk under the Default Risk Charge Using Probability and Statistics Theory
Table 1
Probability of default (PD) by rating.
| | Rating (S&P) | Corporate (1981–2016) (%) | Sovereign (1975–2016) (%) |
| | AAA | 0.03 | 0.03 | | AA+ | 0.03 | 0.03 | | AA | 0.03 | 0.03 | | AA− | 0.03 | 0.03 | | A+ | 0.05 | 0.03 | | A | 0.06 | 0.03 | | A− | 0.07 | 0.03 | | BBB+ | 0.12 | 0.03 | | BBB | 0.17 | 0.03 | | BBB− | 0.26 | 0.03 | | BB+ | 0.36 | 0.20 | | BB | 0.58 | 0.10 | | BB− | 1.05 | 1.20 | | B+ | 2.15 | 0.40 | | B | 3.89 | 2.30 | | B− | 7.49 | 7.20 | | CCC/C | 26.78 | 23.40 |
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