Research Article
Multiscale Analysis on the Pricing of Intensity-Based Defaultable Bonds
Table 1
Average cumulative default rates (%), 1983ā2009 (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 | ā | All rated | 1.761 | 3.620 | 8.046 | 9.991 | 12.100 | 14.990 | 18.002 |
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