We test the early warning power of the CreditEdge Deterioration Probability (DP) metric for Fallen Angel downgrades.
Since the Asia crisis, most countries in Asia have displayed a longer term secular trend of falling default risk.
The Deterioration Probability - At a Glance
The Deterioration Probability Methodology
This article proposes a method of modeling realized losses given default (LGDs) as a function of macroeconomic drivers for stress testing purposes.
In this article, we model stressed LGDs as a function of macroeconomic drivers and find that LGDs sometimes lead PDs by several months during crisis periods.