This paper examines the use cases for Credit Benchmark’s Consensus Probabilities of Default (Consensus PDs), in the context of more established indicators of Sovereign Default Risk. We suggest that Consensus PDs, as an additional dataset that is both robust and broad, can play a valuable role in compensating for low signal-to-noise in other metrics. It can also provide a basis on which to fill coverage gaps in indicators such as CDS and bond yields, and offer an alternative form of beta metric at the portfolio level.
In the current low yield environment, many Sovereign bonds issued by different countries are priced at similar levels. However, this Read more
Credit Benchmark is a market-led response to three of the most critical issues facing credit risk professionals: 1) The need to Read more
The Basel Committee on Banking Supervision recently published wide-reaching proposals for reducing variation in Credit Risk Weighted Assets, with a Read more
This White Paper shows that consensus credit risk data sourced from IRB banks can be combined with market data to give Read more
