Hull22_defaultIntensity |
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Cumulative Probability of Default (Cumulative PD) |
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Default |
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Intensity |
1 |
2 |
3 |
4 |
5 |
6 |
7 |
8 |
9 |
10 |
11 |
12 |
13 |
14 |
15 |
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0.10% |
0.10% |
0.20% |
0.30% |
0.40% |
0.50% |
0.60% |
0.70% |
0.80% |
0.90% |
1.00% |
1.09% |
1.19% |
1.29% |
1.39% |
1.49% |
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1.00% |
1.00% |
1.98% |
2.96% |
3.92% |
4.88% |
5.82% |
6.76% |
7.69% |
8.61% |
9.52% |
10.42% |
11.31% |
12.19% |
13.06% |
13.93% |
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2.50% |
2.47% |
4.88% |
7.23% |
9.52% |
11.75% |
13.93% |
16.05% |
18.13% |
20.15% |
22.12% |
24.04% |
25.92% |
27.75% |
29.53% |
31.27% |
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5.00% |
4.88% |
9.52% |
13.93% |
18.13% |
22.12% |
25.92% |
29.53% |
32.97% |
36.24% |
39.35% |
42.31% |
45.12% |
47.80% |
50.34% |
52.76% |
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10.00% |
9.52% |
18.13% |
25.92% |
32.97% |
39.35% |
45.12% |
50.34% |
55.07% |
59.34% |
63.21% |
66.71% |
69.88% |
72.75% |
75.34% |
77.69% |
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Hull22_PDs |
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Avg. CUMULATIVE Default Rates |
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1 |
2 |
3 |
4 |
5 |
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Aaa |
0.000% |
0.000% |
0.000% |
0.026% |
0.099% |
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Aa |
0.008% |
0.019% |
0.042% |
0.106% |
0.177% |
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A |
0.021% |
0.095% |
0.220% |
0.344% |
0.472% |
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Baa |
0.181% |
0.506% |
0.930% |
1.434% |
1.938% |
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Ba |
1.205% |
3.219% |
5.568% |
7.958% |
10.215% |
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B |
5.236% |
11.296% |
17.043% |
22.054% |
26.794% |
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Caa |
19.476% |
30.494% |
39.717% |
46.904% |
52.622% |
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UNCONDITIONAL Default Probability |
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2 |
3 |
4 |
5 |
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Aaa |
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0.000% |
0.000% |
0.026% |
0.073% |
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Aa |
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0.011% |
0.023% |
0.064% |
0.071% |
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A |
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0.074% |
0.125% |
0.124% |
0.128% |
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Baa |
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0.325% |
0.424% |
0.504% |
0.504% |
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Ba |
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2.014% |
2.349% |
2.390% |
2.257% |
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B |
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6.060% |
5.747% |
5.011% |
4.740% |
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Caa |
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11.018% |
9.223% |
7.187% |
5.718% |
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CONDITIONAL Default Probability |
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2 |
3 |
4 |
5 |
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Aaa |
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0.00% |
0.00% |
0.03% |
0.07% |
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Aa |
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0.01% |
0.02% |
0.06% |
0.07% |
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A |
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0.07% |
0.13% |
0.12% |
0.13% |
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Baa |
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0.33% |
0.43% |
0.51% |
0.51% |
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Ba |
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2.04% |
2.43% |
2.53% |
2.45% |
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B |
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6.39% |
6.48% |
6.04% |
6.08% |
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Caa |
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13.68% |
13.27% |
11.92% |
10.77% |
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Sheet4 |
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slope |
8.36 |
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intercept |
59.10% |
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0.0% |
59% |
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0.2% |
57% |
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0.4% |
56% |
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0.6% |
54% |
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0.8% |
52% |
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1.0% |
51% |
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1.2% |
49% |
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1.4% |
47% |
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1.6% |
46% |
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1.8% |
44% |
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2.0% |
42% |
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2.2% |
41% |
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2.4% |
39% |
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2.6% |
37% |
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2.8% |
36% |
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3.0% |
34% |
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3.2% |
32% |
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3.4% |
31% |
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3.6% |
29% |
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3.8% |
27% |
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4.0% |
26% |
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4.2% |
24% |
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4.4% |
22% |
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4.6% |
21% |
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4.8% |
19% |
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5.0% |
17% |
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