Current Conditions in Global Credit Markets - NYU Stern School of ...
Current Conditions in Global Credit Markets - NYU Stern School of ...
Current Conditions in Global Credit Markets - NYU Stern School of ...
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Forecast<strong>in</strong>g Defaults and the Default Rate<br />
MODEL DRIVERS<br />
• Mortality Rate Estimates: 1971 - 2005<br />
= f {bond rat<strong>in</strong>g, age, redemptions, defaults}<br />
• Historical New Issuance over last 10 years by credit quality<br />
• Bond-rat<strong>in</strong>gs<br />
• Z-score Bond-equivalent rat<strong>in</strong>gs<br />
New Defaults and Default Rate <strong>in</strong> 2006<br />
• Estimate high yield market growth <strong>in</strong> 2006<br />
New Defaults and Default Rate <strong>in</strong> 2006<br />
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