This Weekly Credit Brief was published 14 days ago. The information within it may have since developed or changed.
AS – Term Structure
PD – Historical Time Series
AS – Historical Time Series
Contract Term: Recovery Rate:
Historical default-number distributions with default correlations (DC)
will be back-filled gradually. Currently, default-number distributions with DC are available for: 2009-06-30 - 2023-06-02 while the rest are computed under the assumption of zero default correlations. Default-number distributions are at month-ends whereas the current ones are for the latest Friday.
The probability that exactly N companies from the selected group will default for the selected date and forecast horizon out of:
|Number of defaults
Probabilities of Default for Different Prediction Horizons:
||Italy/Banking (NU... (bps)
Actuarial Spreads for Different Tenors:
The probability over time that the selected entity(s) will default within the
- The PDs and Actuarial Spreads of each company/economy are computed using model parameters that were
- on 2023-05-05.
- using data that was available
- The aggregate PD and Actuarial Spread displayed are calculated using the simple median of
the individual measures in each group. The aggregate PD and Actuarial Spread using mean
values are accessible through the data download section.
The regions are regrouped on 2017-12-18 as: Asia Pacific (Developed), Asia Pacific (Emerging),
North America, Europe (including 2 subgroups: Eurozone and Non-Eurozone), Latin America & Caribbean
(including 2 subgroups: Latin America and Caribbean), Sub-Saharan Africa, and Middle East, North Africa
& Central Asia (including 3 subgroups: Middle East, North Africa and Central Asia).
The Financial Sectors in BICS2020 is devided into Banking, Financial Services and Insurers.