Experience Studies - 1986–98 Credit Risk Loss Experience Study: Private Placement Bonds
Experience Studies – Credit Risk
The Society of Actuaries' Private Placement Experience Committee has completed this report, which measures incidence rates, loss severities and economic loss rates associated with credit risk events for privately placed debt during the years 1986–98. One of the values of this report is the comparison between private placement bond default experience and that of publicly traded bonds. In this edition of this ongoing study, migration rates for internal and NAIC credit ratings of assets are tabulated for the first time and the relative predictive power of different kinds of ratings is examined.
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