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1986–2002 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 1986–2002. Since the publication of the last report, the Committee has added four more years of experience covering 1999–2002. One of the values of this report is the comparison between private placement bond default experience and that of publicly traded bonds. Once again, in this edition of this ongoing study, migration rates for internal and NAIC credit ratings of assets are tabulated and the relative predictive power of different kinds of ratings is examined.

The four new years of experience reflected in the study result in the study now covering by and large two full credit cycles over 17 years.

Material

1986-2002 Credit Risk Loss Experience Study: Private Placement Bonds

Questions Or Comments?

If you have comments or questions, please send an email to research@soa.org.