Description: The valuation of illiquid assets is a vast topic, which is very much in a state of development. Based on comments made by investment professionals during the preparation of the proposal, this is a very challenging area of research. Generally, the investment industry will look with great interest on the outcome of this research. The research proposal was restricted in two ways. The literature review was focussed on the valuation of private placement debt PPD and real estate. The case study was limited to analyzing valuation methods with respect to PPD. Sponsored by CAS, CIA, SOA Joint Risk Management Section.

Description: This paper summarizes default experience on bonds from 1900 through 1987. Although the information is more extensive for publicly traded bonds, the paper includes some information on private placements, some of which is not otherwise available.