… The numerator is the sum of the number of defaulters, Y, in month t, that were in the rating
universe k as of t-11. The denominator, Ik,t is the number of issuers left in the rating universe …

This report documents global corporate credit rating transition and default rates during the
1995-2003 period conditional on the full information in Moody's published credit opinions, …

This report documents the historical rating transition and default rates of Moody's-rated debt
issuers conditional on lagged rating actions, rating outlooks, and rating reviews. We …

This study introduces a new model for predicting future default rates. The model leverages
off of the statistical relationships underlying Moody's trailing 12-month issuer-based default …

by Lea V. Carty, David T Hamilton, and Adam Moss study by Moody’s Investors Service, of
interest to anyone holding bank loans in their portfolios, documents the bankruptcy 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 …

Through-the-Cycle EDF (TTC EDF) credit measures are one-year probabilities of default
that are largely free of the effect of the aggregate credit cycle, primarily reflecting a firm’s …

Banks' internal credit risk assessment may take into account not only publicly available ratings
but also internal measures of credit risk. We present a credit rating model of credit risk that …

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 …

Agency credit ratings are used by multiple constituencies, each with their own (possibly
conflicting) goals. Financial market regulators desire accurate, forward-look estimates of credit …