Rating agency default studies provide estimates of mean default rates over multiple time horizons but have never included estimates of the standard errors of the estimates. This is due at least in part to the challenge of accounting for the high degree of correlation induced by their...

Many market practitioners base their parameter estimates on results reported in rating agency default studies. Although the comparability of default rates reported by the agencies has increased in recent years, many differences in default rate calculation methodologies remain. One important and...

Rating agency default studies provide estimates of mean default rates over multiple time horizons but have never included estimates of the standard errors of the estimates. This is due at least in part to the challenge of accounting for the high degree of correlation induced by their...