Research Article
Optimizing Price of Credit Default Swaps for Dynamic Project System of Public-Private Partnership
Table 1
Credit ratings with the corresponding default probability of Moody, S&P, and domestic commercial banks.
| | Rating Symbols | Default probability interval of Moody | Default probability interval of S&P | Default probability interval of domestic commercial banks |
| | AAA | 0.00% | 0.02% | 0.00% | 0.02% | 0.00% | 0.01% |
| | AA | 0.02% | 0.05% | 0.02% | 0.04% | 0.01% | 0.5% |
| | A | 0.05% | 0.15% | 0.04% | 0.11% | 0.5% | 1% |
| | BBB | 0.15% | 0.50% | 0.11% | 0.27% | 1% | 2% |
| | BB | 0.50% | 2.00% | 0.27% | 0.88% | 2% | 5% |
| | B | 2.00% | 7.00% | 0.88% | 4.86% | 5% | 10% |
| | CCC | 7.00% | 15.00% | 4.86% | 15.94% | 10% | 20% |
| | CC | 15.00% | 20.00% | 15.94% | 17.61% | 20% | 100% |
| | C | 20.00% | 100.00% | 17.61% | 19.10% | 100% | 100% |
| | D | 100.00% | 19.10% | 20% | 100% | 100% |
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